With the Intimidate skill. Lol.
You can bind its lifeforce to a Fiend-Infused Golem. Then use said golem to do something good... like endlessly turning a cog-wheel grinding wheat into grain for peasants in need.
Or bind the demon to build temples for your god(s)... like King Solomon supposedly did.
The abyss is a chaotic place, but not one without hierarchies. Nothing owes any real loyalty to anything else, but it's chaotic in the sense of "everything imposes its will on everything it is able to impose its will on." So every demon knows to be careful around more powerful demons. You do what they say not because it's right, but because they can grind you into infinitesimal pieces if they really wanted to.
It's basically the principle of "don't make anything mad if that thing is more powerful than you are."
So the way you'd intimidate a demon is by emphasizing that you are more powerful than they are and it would very much be in their best interest to simply acquiesce to your demands for the time being.
When talking to this demon, casually refer to them by their True Name... maybe inform them that you have them on speed dial, and you can call them any time.
Talk to your GM about learning its True Name... should be a Know:Planes check with a DC roughly equal to its HD+10... although this could vary from HD+12 to HD+15, or even HD+20, if the GM decides this particular demon is especially powerful or its name well-protected.
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Are you looking to save your friend, or are you looking to boost your own ego and feel better about yourself? If you are more interested in saving your friend threatening the demon may not be the best tactic. Instead of trying to make yourselves look tough give the demon a reason to keep your friend alive. Pretend to be weaker than you are and promise him something he desires for your friend. You don’t have to be truthful about anything. If the demon thinks you are scared of him and have something he wants he may be more inclined to keep your friend alive until after he gets what he wants. If you pull off the bluff, he will more than likely be planning to betray your deal anyways. Use the demon's greed against him.
To be honest, you should assume the demon is already harming your friend.
And unless you can offer the demon something it wants, you should expect the demon to kill your friend and either eat or collect their soul.
The demon almost certainly has no use for your friend, and may only be keeping the around until their "friend" in the soul trade can show up to take them.
Threatening the demon with any kind of harm, especially when you've already lost to it, is an absolutely failure of a tactic. And honestly you should assume your friend has been maimed, but is perhaps not dead (but only because this particular demon lacks the ability to collect souls on their own).
A trash golem... power a freaking Junk Golem with the demon's lifeforce. If you have Craft Construct and 10 ranks in Know:Planes, you shoud be able to make a Fiend-Infused Junk Golem in your sleep.
The demon goes from a lord of destruction to a lord of trash... made of trash.
Tell the demon that if he hurts your buddy Fred that you'll spend the rest of your life hunting down that demons True Name, and you won't rest until you find it, and once you find it, you'll announce it to everyone on every plane known and unknown.
Honestly? Nothing but complete and utter annihilation would scare a demon. Even if you kill it, its soul (or essence) will make its way back to the Abyss and eventually reform. It is already well familiar with torture and pain, so more of the same isn't going to really phase the thing.
Just tell it that you will capture it (its soul) and personally escort it to the deepest parts of the negative energy plane where you will embed it into the darkest, deepest mire of corruptive energies and leave it there to slowly have its vital energies leeched away for countless millennia until the very plane itself drains the last drop of vital essence from it, consuming it utterly. Or, it could decide that it wants to play fair, leave your captive friend relatively unharmed, and settle this dispute like mortals.
But, that's just me. There are no half measures.
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What are the demon's demands? I don't see it taking this prisoner without some sort of goal.
The demon is unlikely to keep a randomly selected mortal alive for very long... the mortal was captured for its soul... either a tasty snack or perhaps a bargaining chip in a game of cards... that soul is toast. Easy come, easy go.
If the demon chose the party's friend on purpose, then why?
The demon is well aware of its own limitations, and will likely not underestimate the party's ability to bind/capture it. Said demon will not take such a risk without thinking it can get something in return.
Figure a demon with less than 10 hit dice is just a minion for something else, so we can safely assume the DC to learn its True Name will be over 20 (but below 40). What level is the party? Obviously, high enough level to get the attention of demons, but not high enough to easily deal with them.
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What are the demon's demands? I don't see it taking this prisoner without some sort of goal.
This is important, and I asked it before.
Either the demon has a specific demand it wants to make of the party in exchange for the soul, or intends to eat the soul (and it probably already happened if that's the case) or it intends to exchange the soul (in which case the PC is only around until that entity arrives). Psychologically torturing the rest of the party is just icing on the cake until the rest of it's plan is fulfilled. Considering that the demon has beaten the party and is unlikely to know what the party can do/provide they've probably just decided to sell the soul and the demon doesn't really care what the party is going to threaten. About the only thing the party can do (IMO) is to offer it something of higher value than whatever the soul trader is offering for their friends soul.
The way I see Demons (and thank you Raymond E. Feist for the inspiration). Is the strong rule the weak. As a demon beats another demon it gets stronger and the losing demon returns to the bottom of the pile as a larve. If a demon is strong enough to best Demogorgon it becomes Demogorgon.
With the above in mind, your threat will need to be from another, stronger, demon in order to be taken seriously. Perhaps you could convince it you are on a mission for a powerful demon and unless the party member is returned the demon will soon be returning to the larval pits.
How you go about convincing the demon should be good roleplay and more than a bluff role.
So how do we stop it from leaving with our friends?
To be honest, realistically you wouldn't.
Any demon that isn't a complete moron knows wherever it was is compromised, and will leave (probably in a way that the telepathically linked person can't tell you where they've gone) immediately expecting you to retaliate. They've fought you and barely won and (temporarily) lost an ally in the process.
You shouldn't expect the demon and your friends to still be there unless you can get back in less than like 10 minutes. And based on your statements, the demon is working others whom they would turn your party members over to. Or even if not would probably kill them and eat their souls just to get rid of loose ends. Leaving people alive is risky.
And to the demon, you're not going to be any less interested in killing them whether or not their friends are alive or dead.
About the only thing you could do is figure out something to give the demon in exchange for the party members, in a way that the demon isn't going to feel is a trap (so probably no face to face exchange) and you're going to need to trust the demon to deliver on their end (they wont).
But if you can come up with something to offer, you might entice the demon enough and you'll have to come up with a trap to get the demon during that time.
Of course, the demon will probably expect it to be a trap. At least I would, and I wouldn't even bother coming regardless of what you offered.
Now, as a GM, this kind of scenario is a "the players have lost" scenario. But I don't want the players to lose, because it's not fun.
Realistically I can't see a reasonable way for you to get your party members back. If the demon had defeated you trivially it might be overconfident and be more willing to deal with you. But it's already barely won. I wouldn't be looking to encounter you again if I could avoid it. I'd take what I wont and leave. You haven't specified what kind of demon, but I'm going to assume it can teleport and eat souls. I would eat those souls (unless I could dump them on someone else quickly) and teleport to another part of the world and start a new scheme. I've already got what something, so I can consider myself a winner and having coming out ahead.
But smart enemies don't make for fun. Because the players simply lose. Because smart enemies would send kill squads after upstart adventurers as soon as they got wind of them and make sure they wouldn't pop up later. But that's a very different game dynamic than we have.
So, the trouble as a GM is figuring out how do you make this an adventure the players can win without the enemy coming across as unbelievably stupid.
The best I can come up with is that the demons decides to sell them as slaves in the City of Brass and has off-loaded them by the time the players can figure out where they've gone. This gives the players a chance to potentially bargain with the purchaser or break them free. And the party can attempt to track down and deal with the demon later.
Yeah, if you show up immediately this conversation may be moot.
It's honestly probably your best chance.
However, I would expect the demon to teleport away (leaving your party members behind) if you immediately return with reinforcements. Now, you save you friends, but the demon (probably) gets away and you have to track them down later.
Honestly, that sounds like the best case scenario.
Lots of fluffy bunnies.
Immediately teleporting back with reinforcements to scare the demon away is by far your best chance.
Regardless, start researching its True Name, and put that MF on blast via Mage's Decree everywhere you go... somebody somewhere will have something fun they can do that, I'm sure. It's like putting other people's email address in for weekly newsletters, or writing other people's phone number on the bathroom stall. This demon is going to get called by every clown that thinks they can.
Some callers will ultimately fail wonderfully and provide a moment of entertainment for your demon friend... others will put your demon in chains to do their bidding, or trap its soul for fun or profit... once the word is out, its days are numbered.
Start researching a demon/devil's True Name is the always the first thing you do when you identify them using Know:Planes before/during combat, and they get away. Chances are, they will be back, again. Learning its True Name is up to the GM, but ultimately it's just another Know:Planes check if it's allowed to happen. Next time you encounter said demon/devil and speak to it on a fist-name basis, you will have its undivided attention.
show up in a Girl Sprout uniform with a small cart of cookies and offer up Good advice and cookies at 20GP a box. That should sting any patron of Evil. 8^0