I do not believe in demons, devils, possession or Evil as an entity and consequently, I do not run into it. The reason is, it is not part of my belief system which means it does not enter my explanatory style when something happens.
I got scratched a few times on a ghost hunt. They felt like the jellyfish stings, but I also understand that they were just scratches. Sometimes, when trying to make contact, things can go awry. I have no reason to believe it was intentional damage, but an attempt to get my attention. I use logic to evaluate the actual threat without interjecting any "meaning" to the event. I approach the unknown realizing I do not know what it is and I do not harbor beliefs about what it is based on popular cultural assumptions or religious doctrines.
The biggest obstacle for people who seek contact with phenomena is that they absorb the legends and beliefs of others about what the phenomena is and what it is capable of. If your belief system includes demons and possession, evil and the Devil, and ghosts as some sort of lingering malevolent entities, then even a loud noise is going to make you jump. Remember the cast of "Most Haunted"? They startled and jumped at every hunt. You have to believe it can hurt you for you to become scared.
So, if you do have a set of beliefs in such negative and terrorizing concepts, I would suggest that you learn to put your head in the right place before you encounter the unknown. Constantly reevaluating the personal threat is key. Noises, cold spots, a feeling of being touched, a voice heard, are all things that cannot harm you in any way and to be a truly good investigator, you need to study these things, learn all you can from them, not run in the other direction.
If you believe you can be taken down by the unseen, then you need to leave the industry. This is not a place for those who will rush away in the middle of activity. There is nothing to be learned or understood about the world of the paranormal by someone who is absent in the middle of action.
If you are comfortable wearing charms, saying protective prayers or performing a cleansing routine when get you get home, please do so. Just know that for us to really understand what is happening, we must be present, we must not be afraid, but curious, intent on being witnesses, recording, and being good note takers.
The only thing you have to fear is what goes on in your mind. If you are superstitious, when you get home and bad things happen, you might explain it as something following you home. These are the tendencies of the human mind to make associations. I can guarantee you that anyone who wants to bolt when a board falls down in a building, was imagining things in the dark watching them, not happy they are there, and menacing. When they jump and run, it's purely a reaction to their thoughts and not the board falling.
Be certain you do not feed yourself fearful thoughts and you will not have fearful reactions. Go back and read my first paragraph. I hope that helps to give it a perspective.