A device to fry rice with 

Formally, I would never include the "with," but you'll hear it.

Sort of. It'd be understandable in normal conversation. Native speakers probably wouldn't say "a device to fry rice" though. Maybe you mean a frying pan? That's not really a "device".

In English we generally wouldn’t refer to that as a “device,” we (especially in America) would just use “something” in its place, and this also makes the preposition sound much more correct. Anyone would understand you if you asked for “something to fry rice with,” although even in that instance you can drop the preposition and the phrase is still perfectly clear

If you mean something like a pan or a wok, "something to fry rice _in_" might be better.

Long ago, when English teachers were sticklers for not ending sentences with prepositions, you'd have been advised to write, "A device with which to fry rice would fit the bill."