is there an episode

is there an episode that has a man that comes across a deamon thing like a live garagoyle. and it tells not not to mention it to anyone, he then runs out of the alley into a woman who he takes back to his appartment. I Think they have sex and he starts making a clay model of the monster, the woman asks him what it is and he tells her. She then turns into the monster. cant remember the rest. was this an episode? or was it another series