Yeah I used to believe that nonsense too. But really, there ain't such beings.
Any effort to prove demons exist under (at least somewhat) controlled circumstances were unsuccessful. So we're left with hearsay, sensational fables, scared people who don't think straight, institutional fearmongering, etc.
Apart from that: if Biblical demons do exist, and our protection is gone when we leave Jehovah or JW.org: please show me from the Bible examples of demon-induced dreams, demon-possessed objects, demons creating shadows, etc. No such thing in there. You're either possessed or not. You're either talking to one or not. That's it.
Don't be scared. There is no such a thing.
@Happydad, look up lucid dreaming. Much fun :-)