So a duck demon has escaped hell with his comrades, but fortunately one of your grand master axe men, who already killed 8 demons came there to fight it. However, the demon lucks (or in this case, quacks) out and manages to nonlethally disable the dwarf. With my suggestions in place, the foul fowl is impressed, and retreats with the crippled dwarf in wings, storing him near the entrance of hell, making sure the dwarf won't be able to fight again.
After the fortress is destroyed the duck demon (or any other demon) drags the helpless axedwarf into Hell, over on the hot and jagged rock, until it reaches (what would be) the most exciting, !!!FUN!!!, and ungodly area in Dwarf Fortress: The Lair of Satan (or whoever the demon leader of the world is).
"Lord [insert demon leader's name here]," quacks the ghastly goose. "We have captured one of the fortress's top soldiers!"
The beastly bird pushes the axedwarf forward. The Dark Lord inspects the dwarf, and his voice booms, "How is he the top soldier?"
"He killed 8 of our troops without injury," replies the loathesome lark. "It was only because he tempted his luck with me that we could capture him."
Satan takes a look in the mind of the axedwarf, and finds the putrid poultry's statement to be true. "Ah, yes..." the demonic leader growls. Then suddenly, the Evil Emperor shouts, "Corrupt him!"
The duck demon (sorry, can't think of any more alliterations) and a cat demon take the dwarf to a Hell Shrine, and preform a ceremony so evil, so unspeakably ungodly, and so promising of future !!!FUN!!!, that I cannot tell you how it is done. But by the time they have finished, the victim is no longer a dwarf, but a demonic servant, with full slade armor, a slade axe, and the same grand master skills as when he was a dwarf.
The demonic leader laughs. "I am your master. You shall obey your Supreme Overlord!"
"Yes. Master." the... thing says.
Summary:
-Have a single king of all demons in one world, and have him live in a lair.
-Have a demon who nonlethally disables an extremely skilled dwarf be impressed and take him to the hell entrance as a capture. (If the forces are defeated, this dwarf can be rescued and taken back to where he belongs: eating cat meat with his buddy speardwarf and hammerdwarf." If (When) hell's forces win, the demons will take the dwarf to Satan...
-...where Satan will order his minions to bring the disabled dwarf to a shrine that is built before year one in world gen. There they preform the evil ceremony to create a demonic servant. This servant will be a demonic warrior, with slade equipment.
-Have history detailing this.
Other suggestions:
-Sometimes demons will capture random (often impure) civilians, and convert him or her into either a demonic prostitute/seductress with who Satan forces to... ...you know what... ...to make Satan-Borns, an even more lethal variety of demon, or a demonic slave that does a certain task for the devil. (You may be seeing armored demons pretty soon if the demonic leader of your world gets a smelter and/or a miner.)
-After defeating the initial wave, the Dark Lord will send another, which appears about a half month later, so you'd best close up that breach!
-Occasionally, a demonic seductress will sneak into your fortress, disguised as a dwarf, and... convince a lower rank noble to turn against his higher ups, causing even more distress in the fortress even after the breach is closed up with rebellions and mutinies.
-Don't forget to make it !!!FUN!!!!