Diablo Sauce is a product from Bueno Nacho, presumably a type of hot sauce.
In "Day of the Snowmen," Ron used the 5-Alarm Diablo Sauce to keep his hands warm in the blizzard. Kim said the 5-Alarm Diablo Sauce was discontinued, but Ron explains he managed to save some packets of it. Rufus used all of the sauces to melt several of the toxic snowmen.
In "So the Drama," Ned used the sauce to write "Evil" on a tray, as a message to Ron.