Ok, I apologize for taking so long getting I talked it over with my GM. Also for some of these explanations it's worth noting we are using the D&D pantheon with some changes by the the GM.
@Dustyboy
I am playing the necromancer.
Hellboy isn't trying to actually play Hellboy that's just my nickname for him to keep things less confusing.
Some further clarification as to what happened after he sold his soul to Baal the first time:
1. He got out of hell somehow, (he hasn't revealed this to the rest of the party) but his soul was technically still in the possesion of Baal.
2. Met up with our group
3. We saved a city from total annihilation
4. Pelor, along with many of the other gods, summoned us to his throne room
5. Hellboy was judged and found to be redeemed and was granted his soul back from Baal
Also the reason, as far as I know at least, that Baal wants Hellboy's soul back is because he liked it as a play toy or maybe he just hates losing things that he considers his I'm not sure.
After talking it over with our GM we are slightly less screwed as we thought we were. He explained it like this:
Baal has the contract but he doesn't necessarily have to follow it.
If he doesn't abide by the contract however, IT IS NULL AND VOID.
So we are slightly less screwed than we thought we were initially, but we still have the issues of having to go to hell to get Hellboy's soul back.