I'm a little late to the party, but I will add my two cents. I have a Demon/Thermal and absolutely love her. With fire shields and IO's, the pets are very well protected from damage. She can solo just about anything, including Zone GMs when you're bored. Here is the build I run with if you want an idea of what to do. If there is a difference in performance compared to other sets, I haven't felt the difference honestly. I went with Demon Lore Pets, too XD It all meshes together nicely.
Lucy - Thermal - Mastermind (Demon Summoning).mxd