The sample of demons in the book seems to be a bit low to form any opinion on the general sanity of demons. From what little we have seen though, I did not get the feel that demons have a tight control over their emotions. Their lack of empathy, their rage when dealing with the accursed masters and similar things seem to suggest they are neither more nor less sane than humans.
Note btw that complete rationality is also a form of insanity. Empathy and emotions do perform a function for an individual to survive within a group, let alone with creatures of other groups.