IIRC, Arrows of Piercing is either non-enchanted or +1 ammunition.
You need to use the white and yellow colour, +2 Arrows.
What level Clerics and Mages do you have? Animate Dead is a great spell if they are Lvl 15 and above. Skeleton Warriors are highly magic resistant so they will most probably shrug off the stun spells.
Clerics can also cast Remove Paralysis, a Lvl 2 clerical spell. Dispel Magic can also remove held effects.
Try casting Lower Resist and Greater Malison on the Demon, then bombard it with Magic Missile, to help your fighters.
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If not a Sorcerer, then a Paladin.
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Baldur's Gate Item Mart