Demons mostly have DR against Cold Iron and/or Good Alignment. It's not entirely clear what Cold Iron exactly is (the SRD simply says its mined deep underground and forged at lower temperatures, which suggests its an ore that contains some amount of an element with a lower melting point than iron), but it doesn't appear that a diesel punk world should have any trouble acquiring large quantities of it. Good alignment would be harder to manage though.

It probably makes sense from an industrial perspective that rather than trying to bypass DR, you simply work to overwhelm it. That means slug-based ammunition for shotguns rather than shot ammunition, and a move to lower fire rates but larger cartridges in terms of rifles and submachine guns. Alternatively, once you've managed to develop a weapon that can reliably score above the max DR value possessed by demons (in 3.5 this is usually 10 with the exception of a few very high-powered demons) you may just want to increase fire rate to some sort of stupidly high level (which might lead to an actual, viable, infantry use of a chaingun style weapon).

Of course, demons are resistant, but not immune, to fire damage, meaning explosives might remain a viable option too. Grenade-launchers, including the underslung rifle mounts that take up the same space as a bayonet, might be extremely important anti-demon weapons.