Yes, they have appealed to SCOTUS:
Recently I read the 133 page pdf of the last judgment which went against them.
It's a painful read, with some relief (not enough, one dissenter, out of three judges) beginning at page 109 of the pdf supplied by Beckett Fund. http://www.becketfund.org/wp-content/uploads/2015/07/LSP-Op.pdf
The goobermint's arguments would still leave the Little Sisters having to sign what could potentially become death warrant for the yet-to-be born.
IMO, it doesn't matter that the third-party insurance provider presently has an exemption from the law, and is not required to provide the so-called 'reproductive health' coverage which the Little Sisters would be forced into requesting -- but that request called "opting out" by the government.
Did I get that right? The government's argument is terribly convoluted, so trying to cut through the blarney there, I may have not sliced & diced it correctly.
If you or I signed paperwork authorizing the taking of a human life --- it would not matter one whit that the party to whom we gave that writing had no intention of following through on the request, we could still be charged with the crime of contracting for murder.
And so in this, the "law" (laws of this nation most generally and of long standing, and those in comparison to the more recent ACA) are inconsistent.