They are shapechanging creatures.
When a demon first appears it is fully 'grown' (though not necessarily intellectually mature... ever). The default first shape is some variant within the bat-winged humanoid theme. It has come into being with a set of properties ('statistics', if you like) that are permanent and determine many of the characteristics of the demon, such as shapechanging skill.
Everything about a demon's body, or shell, can be altered. Some never go beyond growing extra limbs, changing colour and all the usual fluff; the most capable shapechangers are much more ambitious, designing digestive systems, skeletal structures and the like just for fun. (see: Genie) Some learn to survive for a short time without a body; at this level they become very hard to kill.
The density of a demon is variable, as is anything else about their shells, such that even a demon with poorly-proportioned wings or poor aerodynamics may be able to fly simply by making itself almost as light as the atmosphere.
When one demon dies, another usually pops up at some point. This is not instantaneous cause-and-effect, but the general trend is to keep Hell's energy constant.
See also: angels, Himmelhunde, heaven, generic demons