- The "transformation" should be not too hard - rig up some lights in the wings, whatever colours you like, and
chase them (even if it's just the lighting operator hitting flash buttons). If you can use a
smoke machine (check to see if it's going to set off smoke detectors!), then a puff of smoke would help the
effect.
- Not sure on the "fire in his
hand" effect...
- Thunder and lightning is not difficult. Even if you don't have the budget to rent a
strobe, flashing white lights rapidly has a similar effect and you should be able to find a thunder sound effect without difficulty!
- The Devil's bedroom would seem to
me to be asking for lots of red light...random puffs of smoke could work as well. If you have any budget, get some "disco" smoke machines, they're cheap as chips, and hide them around the set so you can get random smoke puffs from different places.