In short, they are your soul. The spelling is taken from the His Dark Materials books. The concept
in the books was taken from Aristotle's concept of a daimon who was his
spiritual guide.
A daemon in our world is incorporeal, more of a voice in your head. When people visualize them, they are usually animals. They can shapeshift to almost anything. Eventually they will settle as an animal that reflects your
personality and character the best.