In essence Lucifer is a Quiver.
It holds (and infinatly replenishes) a stock of demonic blades.
These are mainly stabbing/pearcing weapons but can also be used as arrows (due to their slender nature). These explode when the wearer commands (via clapping or the throwing of the Rose, but also when there are too many blades in existance in which the oldest one generated explodes to allow for new stock.
Gotta love Lucifer