Ok this stems from a conversation about the difference between incubi and succubi,but i have to know if a word exists. 
The first thing that jumped into my mind was: Fun, but that depends if you’ve ever read Demi the Demoness.
My point? Sorry, I seem to be lacking on at the moment, I’ll shut up now.
Demonophilia or Daimonophilia (or, if you’re really anal about it, kakodaimonophilia).
Unbelievable!
Apparently, “astral sex”. I’d link but it’s easier for you to google the term and decide for yourself how sane it’s users are (sources vary from Fundi to Wicca).
I found the Demonbuster site in my searching - gotta love that cursor text .
IIRC, the original sources that maintain that such things could happen referred to the “seduction” or “deception” of the victim by the evil creature. The incubus/succubus customarily transformed into a human and did it’s business with its chosen victim. Thus the term for sex with such a demon would be the same as that for sex with another human, because at the time the demon was in human form.
Incubi and succubi were invented because in those days they didn’t have a good religious sounding term for babysitters, secretaries, pool boys, building maintainace men, Congressional interns, and all the other assorted characters that today populate supermarket romance novels and porno movies.