Ah, me too now.
My Todolist of games I need to finish is getting quite large now (yes, I manage it on my PC)
Archdemons are the 'final' boss in each world. So you need to beat all of world 2, 3, 4 or 5 (world = archstone).
1-3 and 1-4 (3rd and 4th levels of world 1) are actually intended to be some of the last levels you do. 1-4 is the "final" level, though you don't need to leave it until last.
I'd recommend you start on worlds 2, 4 and then 3. World 5 can be a pain when you're still learning.
I was pleasantly surprised to get the Art Book and CD OST with mine Wij. You get these too?