They are shapechanging creatures.
hell and have to fend for themselves from the beginning.
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.
mindbond to a hellhound. There are many more demons than hellhounds.
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.
angels, demons do not have a guaranteed evil or good alignment. There are plenty of arseholes, though.