I hope I don't disappoint you when I tell you that demonyms have nothing to do with demons. (For that I'd recommend The Dictionary of Demons by Belanger.) Rather, the demo is demos, a Greek word for the people and, more significantly for the fillip, the name for a certain type of municipality in Greece. Thus a demonym is a name given to describe a person from a particular place.
Eighty-two point seven percent of the time figuring out what to call someone from somewhere is no big deal. You throw -er or -al or -ian . . . [more]