Though I love the sound of
Lucifer and the concept of turning names on their head... I think it would be too difficult for someone who lives in a predominately
Christian enviroment.
Demon even pronounced DAY-mon would be a hard name to carry for your lifetime.
Damon, Daemon are some alternatives that aren't as close to the spelling of demon but sound the same as the way you want to pronounce them.
And I think enough people have used
Damian for their children in real life that it woulodn't be any problem.
Personally, I like names like
Lucifer,
Jezebel and
Lilith. Why can't we change the negative connotations of these names?