When thinking about confronting a demon, always keep in mind that DF demons are _large_. They have a body size of ten cubic metres, about twice the size of an elephant (according to what i know, that size is standard for them all - a zebra~ and a squirrel demon are of the exact same size). The clothes worn by demons encountered in human settlements (posing as deities) are so thick that weapons will typically bounce right off.
Highly-skilled adventurers can take down "lawgiver" animal demons, but even for an all-around Legendary +10 character, it's a bit of a production. If you're not immensely battle-hardened, you'll need absurd luck to even make a dent. Matters are very different if you chance upon a demon made from a very flimsy material, like ash or snow - those can fall victim to any angry kitten.
@Broken: You're right. I was only thinking about demons encountered as lawgivers, who get hypermassive clothes as armour, which makes them nigh invulnerable (theoretically, you could wrestle clothes off them, but your adventurer would need to have a similar body size for a successful wrestling roll).
(Fleshy) Demons encountered elsewhere, which wear no clothes, pose no more resistance to a solid axe-strike than a giant or ogre. Their high natural combat skills make them much more respectable enemies, but they should be easier to kill than forgotten beasts.