Technically demons are spirits and cannot indulge in physical behavor, but they can manipulate material things and control other people's bodies, so it's very possible.

Theologically speaking, any sinful behaviors that hold you in bondage and are not renounced at the time of death are what you chose and take with you to your grave. God respects free will so much that what you choose with your free will remains with you for eternity. So if you choose God, you get God for eternity. If you choose selfishness, you are away from those who loved you (God and your loved ones) for eternity, all alone. If you chose certain sinful behaviors such as violence, that is what you receive for eternity. If you choose unlawful sex, that is what you get for eternity. The thing is, without God to run the show, it is chaos anywhere (the opp of chaos is logos!) and therefore it is lawlessness in hell. So you can't really stop anyone from sodomizing you in hell even if sodomy wasn't on your list of sins.