Demons are not corporeal entities by any stretch of the imagination. Now, they can take a physical form if they so desire, but you'll never know who it was.
"Every single living creature has something it fears; The Gatar fears his brother, the Human fears his death, the Elf fears the Fae, and the Dragon itself. The Demons fear nothing, and this alone terrifies me."
"A Demon does nothing with emotion, it is unknown if it even knows why it does anything. But what it does, it does with horrifying efficiency. Nothing is wasted."
"A bargain made with a Demon is a falsehood; a soul is a non-quantifiable thing, but the idea of giving up one's soul means the fool is easily molded, and that is what the Demon wants."
It might request small things, such as a small bowl your mother used, or maybe a picture you forgot about, for reasons you won't know until you miss the item.