A "figure of speech" is a metaphor which quickly explains something such as an abstract concept or a piece of advice/warning. It's usually playful. The phrase "rhetorical device" is a way of describing the same thing, but sounds more academic. One would use "rhetorical device" in a research paper about linguistics, for example. But in everyday speech, you would say "It's a figure of speech." I hope this helps.

A figure of speech is a word or phrase that is used in a non-literal way to create an effect1. For example, 'She is a ray of sunshine' is a figure of speech that compares a person to sunlight. A rhetorical device is a technique that uses language to persuade, inform, or entertain an audience2. For example, 'Ask not what your country can do for you; ask what you can do for your country' is a rhetorical device that uses inversion and parallelism to inspire patriotism. Figures of speech are often used as rhetorical devices, but not all rhetorical devices are figures of speech3 4. For example, 'repetition' is a rhetorical device that repeats words or phrases for emphasis, but it does not change the literal meaning of words.

You may be best served by going through the Wikipedia articles on both of them (sorry!) To me a figure of speech is a harmless way to repeat, simplify or emphasize a message, while rhetorical devices may have more complex (and less innocent) uses in speech and literature.