You can't actually sleep with Malice outside of a dream if you have Heloise as your consort. Additionally, there are two potential scenes where you can affect Malice's personality.
If you are using the walkthrough, go to "Raising the Apocalypse" and the information is there. You can look at the two primary scenes to see how to get them, then scroll down to the chart and pick a combination of dialogue that gets you "disobedient".