The lyrics in the DT are here (click).

I learned the song from the Johnson Girls CD, and it's a bit different. I'm not sure this is exactly the way they sing it - I can't find my CD to check the lyrics.

Oh, sinner man, where you gonna run to
Oh, sinner man, where you gonna run to
Oh, sinner man, where you gonna run to
All on that day

Run to the rock, rock he was a-meltin' (x3)
All on that day

Run to the sea, sea she was a-boilin'(x3)
All on that day

Run to the moon, moon she was a-bleedin' (x3)
All on that day

Run to the sun, sun he was weepin'(x3)
All on that day

Run to the Lord, Lordy, won't you save me (x3)
All on that day

Lord say, sinner man, you shoulda been a-prayin' (x3)
All on that day

Run to the Devil, Devil, won't you hide me (x3)
All on that day

Devil he say, sinner, some right in (x3)
All on that day

Oh sinner man, where you gonna run to (x3)
All on that day