Well, if it helps any...

My mom is a devout Christian who would be one to worry about that kind of stuff. I mean, she never let me go trick or treating on Halloween because, oh no, it's an evil holiday with magic and witches and stuff. But I've talked to her about my interest in lucid dreaming, and she's never seen any reason to be the least bit concerned about it.

Sometimes sleep paralysis (SP) is associated with demons and stuff. I don't really think it has anything to do with demons, but having experienced it, I can easily see how other people would think it would. SP involves being unable to move temporarily, while waking up or falling asleep, and often involves potentially frightening hallucinations. Having a wake induced lucid dream (WILD) usually involves going through SP in the transition between waking and dreaming. If you're worried about it, maybe just don't try the WILD technique? Other lucid dreaming techniques (keeping a dream journal, doing reality checks, various awareness techniques, etc.) have nothing to do with SP.