This discussion may contain spoilers!
Haven't seen any topics on this yet, so here we go: As TJ pointed out in Episode 3, he heard whoever was disposing of Lilly's body say "Stop laughing at me." I kind of put this out of my mind, however near the end of Episode 4 I believe the mystery is solved.
As you're approaching the door to the Crooked Man's room, you can here someone laughing. Georgie Porgie then says "Is that a fuckin' joke? What did I tell you, eh? Stop laughing at me." Jersey Devil's voice can then be heard saying something to the effect of "Oh yeah? I ain't scared of you."
I guess it's little more than a detail at this point, but that would mean Georgie and JD were the ones who disposed of Lilly's body. Shows how much the former cares about his "employees", I guess.