He mentioned it several times in papers and essays, and of course he wrote an introduction to the book itself. Indeed, he was somewhat influential in its "rediscovery." If I'm not mistaken, when he acquired his copy and subsequently wrote The Satanic Bible, Might is Right had not been in print since its original publication.
I believe this little story is told in fuller detail in his biography by Blanche Barton.
"The devil I'll bring you," answered Hagen. "I have enough to carry with my shield and breastplate; my helm is bright, the sword is in my hand, therefore I bring you naught."