Are you sure the name mentioned in your dreams was Azrael, and not maybe Asael/Azael or Azazel? If they are the latter names, you could be having trouble. You have mentioned that a demon has spoken to you already about embracing the sin. Did he once mention who he was? How did he look? If he has ram-like horns on his head it could be the fallen-angel Azazel who has spoken to you! Some people have linked him to a messenger that comes to visit people with depression and suicidal thoughts, telling them to go ahead and do it, so that he can "free them from their pain". It is not specifically stated anywhere, but it is possible that he is the one that convinces people to do sin. Suicide is also a sin (Thou shalt not kill). Some have noted the horns, and him being a very tall man, and it is even possible he is the classical image of the devil, the man with the ram's head. He is particularly persuasive, charismatic, at times even alluring and boastful (almost highly confident and bragging), and has led ancient civilizations astray by teaching how to make things out of metal and the art of making yourself up so that you look different, according to a text called the Book of Enoch, a book not in the Bible (i.e. a non-canonical text). I'm just thinking about this because you mentioned magic in your dream, and the practice of magic. Azazel/Asael has been known to have taught magic and "the secrets of the Kingdom of God" to people of the ancient past. He was punished for this, and it is thought the old Jewish tradition of Yom Kippur stems from throwing a ram over a cliff to atone for the sins of the people (the scapegoat, see Leviticus 16 in the Bible) which is reminiscent of the archangel Raphael being told to tie Azazel up and throw him down the mountain into a place of darkness (covering him with rocks), to punish him for misleading humanity in many ways. It sounds like you may need to go see a priest perhaps if these demons are tormenting you, telling you to do stuff you don't want to, and planting these thoughts in your mind to torment you until you do it. Even if the fantasies may feel good or even pleasurable, it's a form of torment to get you to give in.

The devil has many spiritual followers to watch out for, they are fallen angels. Many debate whether these are part of demons or not, as many ascribe demons to be like conditions or addictions or illnesses, where these fallen angels are actual figures who can be seen. Many consider demons to be the faceless, or eyeless, or red-eyed, black hooded shadow figures often seen by some. They are responsible for misery in your life and can manifest as real diseases. The fallen angels some believe are not demons but evil angels, led by Satan. Some have had communication with them. In some non-canonical texts, there are reports of people encountering them. Adam and Eve were repeatedly subjected to attacks by Satan, whilst being followed by a "host of others that seemed to be with him", after they were ejected from the Garden of Eden. There it was noted that he could change form as he liked and it is only my humble opinion that these could have been the fallen angels, all speaking out of the same mouth. Adam even said that they looked just like the true Angels of God that would always come to his rescue when Satan attacked. I recommend the book of Adam and Eve (a non-canonical text), it's a great read and gives account of what lengths Satan goes to, to try and kill Adam and Eve. He is also responsible for misleading Cain into killing his little brother Abel. Adam chased Satan, but Cain listened to him, he used the jealousy Cain had for Abel to persuade him to kill Abel. It's actually a great read. It's available online, along with the Book of Enoch as free pdf's.

Sorry if I got sidetracked a bit here with a long post, and sorry to those who may not believe in these spiritual beings. I'm speaking from a Biblical point of view, of course there are also many rational and scientific explanations possible and I thus leave it here as an open ended discussion. It's an alternative viewpoint.

I am particularly worried because you say you have these fantasies since the dream. It sounds like a "seed" that has been planted in your mind by the dream. It's funny you should mention the two men being scolded and feeling ashamed. The fallen angels also felt ashamed at one point, and they sent Enoch (from the book of Enoch) to make a plea for them to God, because they were too ashamed to face the music themselves after their crimes. There is also a huge sexual component always linked to these fallen angels too. Many of them married human women and had "children" with them, but they were "giants". Some believe these giants are now the demons, the spirits that lived on after the bodies had died (presumably in the great flood). The great flood was instigated to remove wickedness and debauchery from earth, sexual orgies and the like that was going on. So, it's possible all these things are linked in your dream. As I said, it can obviously be interpreted in many ways, but seeing that you come from a religious or spiritual point of view, I only provide this aspect and of course others may offer another explanation.