So play your lock to the glory of God. If, however, you feel that you cannot do that, do not go against your conscience. If you do that, you'll be training yourself to ignore your conscience, and that's bad.
I have a level 61 warlock, a level 70 druid, a level 70 paladin, a level 70 shaman, and a level 68 warrior. I don't see any difference between one or another in terms of morality. Is a warlock (a "demon" class) better than a druid (a "pantheist" class) or a shaman (a "earth spirits" class?) Or, for that matter, is a paladin (a "the force" or, in TBC, "alien power" class) or a warrior (a "kill kill kill" class) somehow better than those with religious connotations?
Paladins in WoW are not holy, if holy means "connected to God (God being YHWH.)" They are not Christian. They are just as Christian as WoW-warlocks, as WoW-shamans, as Illidain.
On the flip side, the Burning Crusade are not demons, if demons mean "spiritual beings who are fundamentally opposed to or opposing the will of God." They are just as demonic as paladins. Or screwdrivers, automatic transmissions, and pencils. In Warcraft lore, they aren't even spiritual beings that are opposed to or opposing the will of God. They are more or less interdimensional aliens who wield strong forces and use these forces (magic) to enthrall, corrupt, and consume their prey. In short, they're the Warcraft equivalent of interstellar anglerfish.
On a more important note: Christ loves you. Period. He loves you enough that he died for you. And by loves you I mean that he's never "not too happy" with you. He's patient with you, and you might not be too happy with you this year, but that doesn't mean he agrees with you on that. You are forgiven. And that means any guilt that clings to you after you confess your sins (like you just did, not being in the Word, etc) does not come from Christ, by definition. He has forgotten and is loving you. You are worried that he's mad. Boy, I really should read this and apply it to my own life.. I'm such a hypocrite in this matter, thinking that Jesus is mad or sad or had it with me and my ways... it's a lie, so don't believe it!
Ramblefactory? I think so too.