You could make an interesting trap with water- and magma-filled tunnels.
The path they take to the fort is perpendicular to these tunnels, each tunnel is an odd number long and only one tile wide, separated by one tile of natural walls. Along the walls is 1 magma-safe door every other tile (or every tile). The tunnels are intermittently filled with water and magma, so that as the demons break down the doors water and magma fill in the place at once, casting an obsidian wall. Sometimes the demons are killed by these walls, sometimes they get through before it seals, sometimes they're trapped behind. They're fast, you see.
At the end of each tunnel is a staircase that lead up one level to water- and magma-free halls that lead up and over the walls separating the two substances below, this way the demons can path through the maze even with all the doors destroyed and all the other paths sealed. The staircases need to be at opposite ends from each other, so they must travel the length of the passage to reach the next one that jumps over.
This, if large enough, will thin their numbers, jumble and confuse them, break up the stream so they only come one or two at a time, perfect for your soldiers, or any other traps you can create. Once all the doors are gone it's simply a really really long passageway.
You cannot win, but you can extend the reach of their divine punishment right into your own fortress, so that they may suffer further.
It is however dependent on there not being many fire-based or otherwise super-hot(
) demons, and then that they miraculously fall behind the others, or the water will evaporate. You could also attach both elements to a huge reservoir, also completely disconnected from your fort so they don't try to path through it.
and they will never stop hunting you.
Not even when they clearly cannot reach you.