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Does it make sense to use world eaters with deamon allies? And what anti tank weapons and units fit the world eaters?

It can be a great idea and certainly a very sensible thing to have around.
I think that World Eaters can struggle when it comes to Scoring units because all of their Troops want to be sprinting across the field and bashing the enemy in with Chainaxes. Keeping 1-2 squads back with Bolters is basically wasted points, but vital to win the game. At the same time, a canny opponent can pull you off objectives by getting into close combat and force you to Consolidate away towards another unit.
Unlike most Legions, World Eaters cannot rely on Allied Militia to fix this because they are Distrusted, and hence not Scoring. If you want to use other Legions instead, you cannot use Berzerker Assault and lose one of your key advantages.

However, Daemons solve all of these very neatly. They provide durable, cheap bodies for a minimal investment that will never run away. They are Sworn Brothers, even to a Berzerker Assault, and they even bring their psychic powers with them. You don't need to worry about transports and the units are so cheap that you won't mind them hanging in the backfield.

For 200pts, you can get an Allied Detachment of a Chosen using Divination powers, along with 2 squads of 5 Lesser Daemons, and roll them all with Feel No Pain. While the Lesser Daemons hunker down on some Objectives, your Herald can join in with the Legion and provide rerolls where needed.
If you'd like to expand, the Lesser Daemons can go all the way up to 20 models each for some more staying power. You could also look at putting in a Shrike, or upgrading the Chosen to a Greater Daemon for a proper beatstick.

On the other hand, I would advise against running them as melee units. A Lesser Daemon cannot compete with a World Eater Despoiler when it comes to damage output, and a decent list should already be throwing more than enough Berzerkers across the field that you don't need any more.

Regarding WE units:
- Despoilers are your bread and butter. A Tactical with a Chainaxe is a staggering amount of damage in an extremely cheap package. Most games can be carried on the strength of your infantry.
- Apothecaries make great upgrades for a big unit of Despoilers, so WE tend to rely on them heavily. Look at the special character Gahlan Surlak to push even further into this playstyle.
- Contemptor Cortus make a great battering ram and support piece for your units. When you throw enough threats at the enemy, something is bound to get through and a Cortus is nothing but threat.
- Tanks. Your infantry have way too many melee buffs to concern themselves with shooting, which means you need armour to carry your shooting phase. Look for tanks, artillery and Land Speeders to deliver your anti-tank firepower.

Out of curiosity has anyone played against Daemons with a 30k army? I feel like they would boost the power of the army immensely. Mozza is right about scoring troops.

My Sons of Horus vs WE tend to be "doesnt even deepstrike just castle up and counter charge/screen"

Imperial Fists? Same thing - wait and clean up grabbing objectives. I dont really have an issue with the horde at 2k or lower and the WE characters are sort of "meh" if youre not using Primarchs