Proposed Canon
First Mention: First Intermission 45
Daemons are a side of natural allies. None have been shown directly yet, but under the effects of hallucinatory Heroine buds Jillian came to see Shockmancer Rusty Trombone as one. Her description of him was: "Long, pointy black-tipped ears protruded from his head, and he had grown a jagged tail. Most startling was his face, like an animal’s, with enormous liquid black eyes."IPTSF Text 71 Though again, the nature of the hallucination may mean this isn't how a typical deamon looks. For one, she saw the Rusty-Daemon as small and impish, they're probably larger.
 Real World References
If Archons were a force for "Good", Daemons would plausibly be the “Evil”/“Chaotic” equivalent of Archons. They most likely have some form of natural magic, and may be connected to an Arkentool. If there is an Arkenshovel, Daemons would be a possible link to it, 'digging' them out of whatever passes for Hell in Erfworld.
It is possible that Pokedaemon are natural allies of this type.
In LIAB Text 9, King Slately refers to his son as a "demon" rather than a "daemon" and likewise, Adam Antium refers to Wanda as a "demoness" in LIAB 51. It is possible that, similarly to Dungeons and Dragons, where fiends are divided into demons, daemons, and devils, Erfworld also classifies daemons and demons differently.
In real world philosophy, daemons are sometimes used as imaginary entities with special abilities needed to support a thought experiment. In computing, a daemon is a program that runs as a background process. As such, it is possible that Erfworld daemons have a connection to Signamancy.
For better or for worse, Carnymancy essentially defies the will of the Titans and impacts the very laws of Erfworld itself. Making a deal with its decidedly sneaky practitioners is comparable to a "deal with the devil". As such, daemons may also have a connection to Carnymancy.