I'm trying to show that the narration (third person limited) is being interrupted by the character's thought process, and I'm not sure what punctuation is best for this situation.

So far, I've tried two approaches: dashes and parentheses. I'm not a huge fan of either. Is there a better way? Alternatively, is there a rule about which mark to use?

Here's an example:

1. Single Dash: The demon - she? He? gestured towards the supply wagons.

2. Parentheses: The demon (she? He?) gestured towards the supply wagons.

(The MC is meeting a pack of demons for the first time. She's not sure how to tell the two genders apart.)

Behold! The Mighty Ellipses!

The demon...she? he?...gestured towards the supply wagons.

Ultimately, it's a matter of personal style. Dashes, parentheses, ellipses are all correct.

Part of the reason I prefer ellipses here is, as Amadeus points out, the gender ponderings aren't really an interruption. It's an aside. The narrator's mind is wandering. Ellipses are great for that as they tend to indicate a pause in addition to a change of course.

Dashes also work great for asides, but don't indicate the same level of pause. Note: use a full sized dash (aka a double or em dash) and not a hyphen. Hyphens have other purposes.

Parentheses are okay, especially since you have the question marks to make it clear, but wouldn't be the choice that helps the reader with the flow and rhythm of the sentence.

I use a double-dash, and specifically a double-dash (not an em dash), on both sides of the interruption.

The demon -- he? she? -- gestured toward the supply wagons.

Although in your example, the interruption doesn't make sense; it would not make sense to say "The demon she gestured toward the supply wagons."