Best used in creative or humorous contexts, where imagination adds to the playful or troublesome character. The children at the party acted like a bunch of imps.
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Pejorative Nuance
Can imply annoyance, avoid using for a person unless you mean to be derogatory. My brother can be such an imp when he's in a bad mood.
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Literary Flair
Often found in literature, particularly in fairy tales or fantasy genres. The imp offered the weary traveler a riddle to solve.