You don't have to avoid fusing pixie, but you do want to try to make sure that you don't sacrifice or let go the demon that they're fused into. In general, I can't really point to too many good demons to get since it kind of depends on where you're at. Demon leveling is very slow, and usually you will need to fuse to keep their levels up to date with the encounters. My party didn't have too many demons that I didn't eventually fuse into something else. There's a pretty huge roster of demons, and part of the fun is just playing around with them and experimenting.
Here are some notable demons that I can remember. There's a monkey demon holding a sword that you can get mid-game that can evolve into Wukong once they level enough. Iirc Wukong is phys immune, can learn focus, and can learn one of the best AOE phys attacks. Early on as someone else mentioned Ame no Uzume is good if you can manage to fuse her before fighting matador. It requires a bit of grinding to get to the level required to fuse her tho. Daisoujou can become a mainstay for a good chunk of the game due to good healing skills.
Try to focus on keeping your team diverse. Skills are generally more important than the actual demons. Having all or most elements covered to hit weakness is extremely helpful. Try to have all the various buffs and debuffs available for attack, defense, and agility. Aside from exploiting weakness, creating statistical advantages will get you through a majority of fights.
