One of my phrases that has helped many people play the game, and has probably confounded as least as many more is, “Demons do not exist.”
By this, I mean that in the fictional setting, there is no demonic realm or established metaphysical role for the demons. They are not themselves part of that setting – instead, their presence in the story violates the fictional setting just as much as a real person actually summoning a demon, in our own real world, would violate it.