If an opponent casts a creature with devour can I kill it with direct damage spells before the devour takes effect?
Rule 702.8a
The creature enters into play with the counters.
So You would have to do enough damage or such to cover whatever toughness it would have.
IMHO. If I'm wrong please let me know.
Devour Reference: {Tar Fiend}
Inconnu is correct. devour is a static effect, not an ETB ability. It enters the battlefield with the counters, so you cannot kill it beforehand.