Fusion doesn't work like that. You can only create a demons within a certain level range.
Say you want to fuse Jack Frost, you will need to fuse two demons with types that combined will give you a fairy demon (Jack Frost's type) and whose level average is between 7-10 (Jack Frost's level in Nocturne, varies from game to game).
You can level up your demons, but they will stop learning new skills at some point so most of them won't really be viable for very long. There are usually some higher levels demons that you can game by midgame with excellent skill sets that will be viable for a long time or even end game if you play them right, though.
But in general, you shouldn't get too attached to a specif demon, just keep fusing to get more powerful and customize your skillet with cool new stuff. There are lots of cool demons, you will end up having lots of favorites and will forget about the previous ones quickly lol