Instructions
Ensure you have both the "Loki" and "Metatron" demons in your possession, then press the "X" button outside of battle mode to bring up your "Comp" screen.
Select "Fusion" from the list of options.
Select "Fusion" again, then select Loki and Metatron as the demons you wish to fuse.
Confirm your selection. Loki and Metatron combine to create make the Lucifer demon.