The Demon Whores are more agile than Mr. Lam's thugs or Madam Chen's henchmen, though not quite as much as the Mysterious Men. They are often nowhere to be found at first but will teleport into the area, often in packs. They can be tough to target but only attack at close range, allowing plenty of time to kill them before they come near. They are mostly dangerous in a swarm.
Pay attention to their teleportation patterns. Do not let them get close. Move around as needed so as to avoid direct contact and try to shoot them from a distance. At times they will warp right in the middle of being fired at, with the bullet doing no damage. It's a good idea to fire in burst shots because of this, as it will conserve ammo.