Over at the OFS Demonolatry forum I was discussing the nature of Demons and so I thought I'd drag what I said over here and expand it. Keep in mind that the following is my opinion, and as such is organic. It will most likely evolve as I learn more.
In the beginning there was nothing and then it exploded. It exploded because it became conscious and aware, and it wanted to be something. So when it exploded the nothing became something, that something being matter and energy. This is called the Big Bang.
The first consciousness did not vanish when the universe formed but just fragmented. The fragments are as separate from each other as threads are in a tapestry but they all make up the whole, which is Satan. Everything makes up the universe and the universe makes up Satan but not all of Satan since He existed before the universe and so is more than the universe.
Over time some of the matter became life and some of that life became sentient, both here and elsewhere in the universe. Just as some of the matter became life and sentient, so did some of the energy but this did not take a lot of time and happened not long after the Big Bang occurred. This sentient energy are many and are called Demons.
The Demons noticed us and made themselves known to us. We are like them except we are matter and they are energy. As matter we are taking a lot longer to advance than they ever have. They see us as younger siblings and treat us as such. If we ask for help and are gracious of the help given then they will continue to give it. If we demand help and are not gracious then they will respond negatively or not at all.
Saying we are matter is not entirely true. We are matter but we are also energy. Our bodies convert matter to energy and our minds are part energy and can manipulate energy. We transform more energy than we need and release a lot of energy aimlessly. Demons enjoy our energy and so like receiving it. They don't need it but it is 'nice' to them. When we work with Demons, we send them energy and this pleases them.
And that is my simpified belief of the nature of Demons.