forget the demon skin...
if you have the Cain plan, go for that...
the Demon set isn't worth the bonus, or the individual set.

You can farm it where demons are aplenty.

Act 4, basically...the demon elite you need to fight, before talking to Tyreal to the Spire.
That would be <1 in 5 tries in Master/Expert level, and would be higher rate in T-levels.