First things first: Why do they want to play evil characters?

Next, what kind of evil are we talking about? Is this going to be an excuse to kill every NPC who crosses their path just for laughs? Are these characters going on a standard adventure but with different RP motivations? Do they intend to torture, rape, and pillage their way through your world? Or are they going to be playing "Saturday morning cartoon" evil?

You really need answers to those questions to proceed. A campaign with reasonably evil characters (say, they like to lie, cheat, and steal their way through life) is going to be way less awkward than one with chaotic evil/stupid characters (whose only solution to a problem, heck, their only motivation, is to create a path of bodies behind them).

If it's something like the latter, I'd recommend renegotiating the nature of the characters/game. If all they want to do is kill stuff, you can play a minis game. If all they want to do is bring chaos to an ordered world, play Jenga.