It's from a sermon in which Wesley advocates that Christian should "gain all you can", "save all you can", and "give all you can" — a teaching somewhat similar to efficient altruism. Wesley has slightly different priorities, though: he emphasizes providing for the local community first rather than distant humans.

The line you quote comes from the provisos he puts around "gain all you can" — in gist, don't earn money at the expense of your bodily or mental health or your neighbor's well-being.

Some context for the quote:

We are, Secondly, to gain all we can without hurting our mind [...]. We must preserve, at all events, the spirit of an healthful mind. [...] There are yet [other trades] which many pursue with perfect innocence, without hurting either their body or mind; And yet perhaps you cannot: Either they may entangle you in that company which would destroy your soul; and by repeated experiments it may appear that you cannot separate the one from the other; or there may be an idiosyncrasy, — a peculiarity in your constitution of soul, [...] by reason whereof that employment is deadly to you, which another may safely follow. So I am convinced, from many experiments, I could not study, to any degree of perfection, either mathematics, arithmetic, or algebra, without being a Deist, if not an Atheist: And yet others may study them all their lives without sustaining any inconvenience. None therefore can here determine for another; but every man must judge for himself, and abstain from whatever he in particular finds to be hurtful to his soul.

The key is the use of the word "experiments". Wesley is saying that he found that studying mathematics would "entangle [him] in that company which would destroy [his] soul" — that is, the company of deistic and atheistic mathematicians — and that he could not separate mathematical studies from association with those (to his view) corrupting influences.