Working with everyday physics, drenching them would cause as much lightning to flow round them as it would reduce skin resistance. Zero sum game, about.
On the other hand, if their skins were, say, salty, so the rain running of them was lower resistance than rain falling directly to ground (distilled water, ie. rain with minimal pollution, is quite high impedance and dialectric constant), it would make them better targets for electricity. I don't think demons sweat, but they tend to come from fairly dry territory, and I don't think they bathe much, so a water-soluble conductive dust coating is not unthinkable. Conductive spikes would be good, too.
The main reason that an aircraft can be struck by lightning with no permanent damage (I've been in one when it was; scary) is that its metal skin is so much lower impedance than everything round it no worthwhile voltage develops, and the instruments (except the radio) are enclosed in a Faraday shield. Depending on skin structure of a demon, this would not necessarily be the case; current flow through internal organs might easily be the shortest circuit. And that just has to be uncomfortable. The only birds I've ever heard of being sruck by lightning have been on power pylons, church steeples or radio towers, essentially grounded, so I don't think flying creatures tend to attract the charges, but most birds don't much like flying in storms anyway, reason of lack of control and getting soaking wet, so not much evidence one way or the other. The only delta-wing flyer I know crazy enough to use cumulonimbus updraughts to gain altitude has never been stuck by lightning, so he's not much use as a reference, either (three phase overhead power cables, yes, but that was wind shear). I wonder if you could use wind shear against demons?
If you have a stable cumulonimbus structure (or a tornado) it is a chaotic system; it would involve quite small amounts of energy (but massive amounts of information) to direct it. Obviously, if you had to produce your thunderhead from a clear sky, this would be a very different problem.