When a demon teleports in (generally signaled by whisperings, a red tint throughout the screen, and always red lightning in the location where they will appear), you will have a split second before they are able to attack. Take a good weapon (for example, a shotgun or chainsaw for imps and wraiths) and stand close by. For powerful creatures, such as Pinkys, use a ranged weapon and stand at a safe distance; remember to save the game often.