Hmm, yes, the demon did say that, didn't it? I know that they needed the gun, though, to actually kill the demon (which is how Dean killed the one choking Sam), which is why I believe that exorcising it doesn't kill it. Oh, and I just thought of something from season 2 which supports the fact that exorcising doesn't kill the demon, but you'll probably catch it when you get to that ep. If I remember it, I'll mention it when I see your review post.