Pave the sky. Collapse that.
Well, if you try that, keep in mind that I can't get a stockpile to work in HFS. I keep getting "inaccessable" job cancellation spam. So you have to build it from above. Removing the stairwell, paving some more floor where the stairs were, and then collapsing the whole thing might be tricky.
I haven't even tried building non-constructions down in HFS, hang on... Oh, no wait, I did manage to make a butcher's workshop, so that I could reduce a little lag by eliminating some extra animals. It's definitely been working, I'm flooded in "struck down" spam more than anything but job cancelation.
That sounds much more dwarfy, but we are getting off topic...
It seems we do not have any more takers on a legitimate attempt to conquer hell. Those who read this and have free time, I question your dwarfdom! What could be a more dwarfy display of military powerness than to eradicate the foul hordes that have been the bane of all dwarf-kind for ages! We cannot mine as deep as we like due to these demons, and I say it is about time to put them in their place. Raise your armies, breed the animals of battle and build the engines of war. The remains of hell shall have their place upon the walls of the great halls!
Keep in mind I haven't really succeeded, even by cheating, yet. If walling off HFS only makes them appear in the skies above somehow, then the only way to win is literally by just sitting there and waiting for your units to kill billions of demons that appear two at a time. That's pretty much impossible outside of fast-breeding superpets like what I have.