Prayers don't work so why do religious keep jabbing at it?

[brewer]

A more self deceived man is apparently deemed a better man.

Normally we don't think of Kierkegaard as someone who advocates self-deception. 

Granted, any kind of human thinking can result in us fooling ourselves. But why do you think prayer -- of the kind Kierkegaard recommends -- is going to lead to "a more self deceived man"? 

Without hearing your reasoning it sounds a bit as though you were begging the question.

Who is "we" and why do the "we" think that their opinion is more valuable/valid?

That quote is a statement, I don't see a recommendation. And "change the nature" is definitely open to interpretation.