This is an old post but I'll give an answer anyway.
At least for the legendary demons like Adramelech and Malacoda, from what I remember, are god-like beings that don't actually have much of a physical shape while they inhabit Infernia (Hell). Through demonic pacts such as the ones the Warlocks invoke, however, the demon legends can manifest a physical avatar of themselves that represents their power and persona in order to influence Etheria.
This also means that, for instance, if you slay an Adramelech, Lord of Fire in the arena, you are merely destroying an avatar, not the actual Adramelech.