As suggested by Dan Bron, "you've got to crack a few eggs to make an omelette" may fit. We use it to imply that to achieve a purpose, something must be sacrificed. (in this case, principles, moral, and the like. 

> In order to achieve something, it is inevitable that some mistakes are made or some sacrifices occur. [**wikipedia**](https://en.wiktionary.org/wiki/you%27ve_got_to_crack_a_few_eggs_to_make_an_omelette)