That's a good point, I guess they felt their options were very limited, which forced the issue. Shouldn't have let her be privy to incriminating details, but given how they operated that kind of foresight & calculation seems impossible to imagine.
There's a sordid white trash druggie element to the whole thing, classic Vegas. The situation was as you've mentioned probably harder to resolve than it appears to the outside, moreso given their warped, drugged perspectives.
In that light, what they did makes more sense, thinking there weren't good options and letting panic or anger dominate. Their miscalculations on what they said to people and disposal of the body must've reflected their drug-induced views of reality. The clincher was probably their inability to get over their indignation of the theft, rather than thinking through a resolution that cut their losses.
Must suck to become sober in jail and realize only after the fact how distorted their perceptions were without knowing it at the time.
James talked about leaving Vegas, moving back home, so maybe the situation would've resolved without having to do anything, given some time. The problem was that they couldn't get over what she'd done, had no respect for her. They would've had to accept the loss of the money without freaking out if going to the police wasn't an option, rather than being indignant to the extent that they felt their actions were justified.