Sham's Superior The Enemy Within
Daemons hail from the Realm of Chaos, an alternate dimension composed of pure magical energy, which has giant breaches into the material plane at both poles of the world. This magical energy is affected by the subconscious minds of people; their thoughts, fears and wishes become manifest as living creatures in the Realm of Chaos. There can also be other, smaller “rifts” in the mortal world, caused by excesses of the emotions and magic that fuel Demonic life. The smaller the rift, the fewer and lower power the demons that pop out of it will be.
Some of these entities have become immensely powerful over time, becoming the Chaos Gods. Presumably these gods could manifest if there was a big enough rift, but this has not happened in recorded history. Less powerful entities became daemons; these are partly tied to the will of the Chaos Gods, but also remain tied to the thoughts of mankind. As most daemons serve one of the gods, when the armies of that god go to war, those daemons tied to it will often march alongside the army.