The logic of making something that exists non existent by just thinking or believing it doesn't exist, doesnt fly. If someone chooses to believe there is no god or devil thats fine, its their choice, but their choice has no influence on reality. The opposite is also true.

There have been a goodly number of people throughout history who have tempted the devil into revealing himself in some way. I know a couple personally. Nothing good ever comes from that. I definitely do NOT recomend that approach. Even Christ never engaged in personal conversation with Satan. When approached and tempted He only gave him short Biblical answers and ordered him to leave.

If one wants to prove such existence they would be much better off to ask God to reveal Himself to them.