We haven't done a very good job of documenting how entities are added/attached to the EntityManager, but it does happen implicitly. In this case, if existingEntityInstance is already in an EM, then the new PersonalDemographic will automatically be added to that EM as well, with the EntityState of Added.
In general, when a navigation property setter is called the entity will be added/attached to the EM. The obverse is true too, if the source entity (say existingEntityInstance here) is not in the EM but the navigation property entity is, then the source entity will be added/attached to that EM. The "goal" is that both sides of the navigation end up in the same EM.
As smi-mark mentions, it may still be a good idea to rely on explicit add logic, especially so that any PK values can be set prior to the add.
We'll get some documentation and samples of this up on the DevForce Resource Center soon...