If I think my religion would get me into trouble, I would rather just not say what I am. I don't hide it, and I always wear my Baphomet, but most people don't know what that means, and most of them don't ask. I'm fine with that, since I only believe in Satanism for my own good, and not that of others.
If the discussion of religion does comes up, I'm honest. Almost everyone will have the regular stereotypical ideas about it at first (you probably heard them all as well) but a little explanation is almost always enough to change their opinion about Satanism quite easily. And if not, have fun with their ignorance.