Not unless you're looking to destroy the host. Which I highly frown upon.
Demons are like...they're, in simple terms, angry spirits. They possess people. The bodies you see them in? They don't belong to the demon on the inside. There's a person in there. Muffled, weak, trapped. You stab, shoot, burn the body that the demon is wearing and that's it. You're killing the person they've trapped while the demon, annoyingly, isn't harmed at all.
That black smoke was a demon. That's what the demons are. The bodies don't belong to them.