If I had been talking to the person you were talking to, I might have said something like this:

<del>Why are you deceiving yourself into believing Orthodox Judaism as opposed to something else? If you, in fact, are deriving a benefit from deceiving yourself, while at the same time being aware that you are deceiving yourself, then why haven't you optimized your deceptions into something other than an off-the-shelf religion by now?</del> Have you ever really asked yourself the question: "What is the set of things that I would derive the most benefit from falsely believing?" Now if you really think you can make your life better by deceiving yourself, and you haven't really thought carefully about what the exact set of things about which you would be better off deceiving yourself is, then it would seem unlikely that you've actually got the optimal set of self-deceptions in your brain. In particular, this means that it's probably a bad idea to deceive yourself into thinking that your present set of self deceptions is optimal, so please don't do that.

OK, now do you agree that finding the optimal set of self deceptions is a good idea? OK, good, but I have to give you one very important warning. If you actually want to have the optimal set of self deceptions, you'd better not deceive yourself at all while you are constructing this set of self deceptions, or you'll probably get it wrong, because if, for example, you are currently sub-optimally deceiving yourself into believing that it is good to believe X, then you may end up deceiving yourself into actually believing X, even if that's a bad idea. So don't self deceive while you're trying to figure out what to deceive yourself of.

Therefore, to the extent that you are in control of your self deceptions, (which you do seem to be) the first step toward getting the best set of self deceptions is to disable them all and begin a process of sincere inquiry as to what beliefs it is a good idea to have.

And hopefully, at the end of the process of sincere inquiry, they discover the best set of self deceptions happens to be empty. And if they don't, if they actually thought it through with the highest epistemic standards, and even considered epistemic arguments such as honesty being one's last defence, slashed tires, and all that.... Well, I'd be pretty surprised, but if I were actually shown that argument, and it actually did conform to the highest epistemic standards.... Maybe, provided it's more likely that the argument was actually that good, as opposed to my just being deceived, I'd even concede.

Disclaimer: I don't actually expect this to work with high confidence, because this sort of person might not actually be able to do a sincere inquiry. Regardless, if this sort of thought got stuck in their head, it could at least increase their cognitive dissonance, which might be a step on the road to recovery.