Voodoo Demon

It flies and attacks exactly like an ordinary Demon down in the Underworld, so behavior gives you nothing to go on. Look at the feet. One talon has a tiny Guide Voodoo Doll dangling head down from it, and the demon is missing the blue bands the normal ones wear on their arms and ankles. A Lifeform Analyzer names it outright, which beats squinting at sprites across a lava lake.

It always leaves the doll behind, and the Underworld is mostly lava. Kill one over an open pool, the doll drops in, and if the Guide is alive back home the Wall of Flesh starts moving toward you immediately, in whatever gear you happened to be wearing at the time.

The demon itself does not burn, so the doll is only destroyed once it exists as a loose item on the ground and lands in the lava. A corpse sinking into a pool does nothing on its own, which is why the danger is entirely about where the drop falls rather than where the fight happened.

One layer of blocks laid across a wide stretch of the Underworld solves both halves of the problem at once. Nothing you kill above it can drop into lava, and you finish with the long flat run the Wall of Flesh fight needs anyway. It also makes a decent farming spot, since you can pull several Demons at a time onto open ground and let the rare variant come to you instead of hunting for it.

On current versions, not really. The doll's only job is summoning the boss, and you can do that by throwing the Guide himself into lava, which costs one NPC you were going to lose anyway. Spawns are rare next to ordinary Demons, so a genuine farm is mostly waiting. If you do go for it, go before the mechanical bosses: after that, Red Devils and Tortured Souls take over the Underworld spawn pool and push the variant out, on top of the Hellbats and Lava Slimes already competing for slots.

That seed replaces most naturally spawning Demons with this one, which makes doll farming trivial and makes exploring dangerous in equal measure. Every kill you make over unbridged ground is a chance the Wall of Flesh starts without warning while you are picking through an unexplored lava pocket with no room to run. Laying the platform down before you fight anything is not optional advice there.