Don't be deceived, my dear brothers.Don't be deceived. The world is constantly trying to tell you the opposite to this. The world will tell you that sinful pleasures do not lead to death, but don't be deceived.
James is saying this because there is a high propensity to deception in this area. This deception goes all the way back to the garden of Eden. "...surely you won't die!" says Satan. "Surely God will not kill you for eating of this tree."
As the next few chapters of Genesis can attest to, that sin did most assuredly lead to death. It started with Abel, as the first murder victim, but then it just goes on. Especially when you get to the genealogies, he was born... he died... he was born... he died...
A similar passage to this is found in Galatians 6:7-9. It starts off, "Do not be deceived: God cannot be mocked. A man reaps what he sows." This law of sin is like the law of gravity. If you jump up in the air, you may think that you are flying for a moment, but don't be deceived, you will fall back down.
Praise be to God that He has set us free from the law of sin and death through Jesus Christ our Lord!