They are a species of shapechanging creatures.
Demons usually switch shape immediately and go through several iterations until they find one they like, subsequently making minor changes and occasionally taking a whole new shape when bored. Some demons never (or seldom) change shape, content with the default.
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.
For more information see the Mindbond (Demon) article.
See also: angels, Himmelhunde, heaven