What is the real name of the girl possessed by the demon in first season of Supernatural. She introduces herself as Meg but is that the real name of the girl too? Apart from this, when all the demons introduce themselves, do they use their own name or the name of the person they are possessing?
Based on the information I've seen, Meg is just known as Meg despite having transferred herself to other people after her first known host, Meg Masters. It seems to be unknown if she has any other name.
The demon is referred to as Meg after the name of the host in which she first appears, Meg Masters.
Many demons are known by their demonic names or have names of unknown origin, though there are others who go by their host's name such as "Jeffrey's Demon".
Supernatural has a great Wiki and has an entry that includes basic info about all of the Demons and links to their more specific in-depth info pages.
I don't know the show personally, but I think this will be of great help in answering your more general question specifically.
The Demons use their real names. There are few references where they don't such as Meg, where we never learn her true name but Humans & Demons are calling her that. Like the yellow-eyed Demon is called Azazel. So in my opinion, they use their real names.