No,they were laughing at themselves as they realized that Henry Ground had led them into his last, and the funniest, practical joke, setting their need to laugh against their desire for money. 

1. their need to laugh：to laugh 是动词不定式，作定语。to是不定式符号。意为：“他们想笑的需求”。

2. their desire for money：for 表示“目的”，意为“对金钱的渴望”。

3. set A against B：让A 与B 对立起来。

setting their need to laugh against their desire for money：使他们想笑的需求和他们对金钱的渴望，对立起来/产生矛盾/纠葛在一起。

【翻译】不，他们是在自嘲，因为他们意识到，亨利·格拉特已把他们引进了最后一个，也是最有趣的恶作剧，让他们那想笑的需求和贪财的欲望去一争高低。