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This may be a silly question, but in the daemon weapon profile for a chaos lord it says to roll "before each attack", Does this mean that if i am lucky and roll a 6 then i have to roll before i make each of the individual attacks to see if i am wounded? If so, this seems like the worst idea ever

Basically you have to roll once before the model equipped with a daemon weapon makes his attacks for the round, if that single D6 is a 1 he takes a wound and does not attack that round of combat.

If it is a 2-6 he gains that many attacks for that round of combat, but you have to roll one D6 before each round of combat.

DeathReaper is exactly right. The only thing I'm not sure of is if he can take and invul save. Also keep in mind that a Khorne Lord will need to roll 2 dice and if EITHER of them is a one he takes a wound and makes no attacks.

You do get an Invun save against the Daemon Weapon.

Demon weapon wounds state they wound the holder with no armor saves. So logically... You can take invun.

I'm pretty sure you do get an Inv save, since it says that you don't get any ARMOUR saves. Inv save isn't an armour save.

But yeah Death has got it right. You get D6 attacks (unless you roll a 1).
Also, you might want to look into going Mark of Khrone if you're going to get a daemon weapon. Allows you to roll an extra D6 for attacks (sadly, the Roll to wound yourself works on both dices.)
Means on the charge you COULD get 17 attacks. 3 attacks for being a chaos lord, plus 2D6 (which COULD be 12), plus 1 for Mark of Khrone and then plus 1 for charging, and because the Daemon Weapon is a power weapon, you ignore armour saves.
Flipside of this though is, sadly, if you roll a one you lose ALL your attacks even the ones that are not to do with the weapon :(

Its awesome however, Played a game with that set up earlier. Took quite a few plague marines out with it and it was my main source of killing Plagues
Did roll 1 sadly on one of the turns. Inv saved it so no big deal however