Pretty meek effort to defend themselves
Why did they just do the same thing night after night? After it was established that she was really being hunted by a demon then why on earth did they just sleep in the bed totally unprotected with the door open every night? How about trying a few things like....
1) Maybe use a bear trap. It's a physical creature so there's no reason to think it wouldn't work. If it can hold bears then it should be able to hold a demon. Once trapped, hit it short range with a shotgun.
Or...
2) Move house. Yes it is established that it follows her, but can it follow overseas? Move to Europe. It appears to be a physical creature albeit invisible, so by the time it knows you're gone for good you're already half way across the world. It may have some magical sense and know where you are, but it would still take weeks to get back to you. Just move around every few weeks.
Or
3) Close the door and lock it. Whoa. If nothing else it will at least wake you up trying to get in so you can go out the window.
Or
4) You have video proof of a hostile species never seen before. Go show it to the media. Someone out there may have an idea how to kill it.
Or
5) Buy a pack of dogs. You've got some nasty demon attacking you. See how it goes against a group of big ass dogs.