io9's Comic-Con report contains a wealth of information about the production and one thing in particular stands out: Unlike most live-action films with CGI characters that don't involve Andy Serkis, the actors did
not perform alongside balls on sticks but rather puppets who the could physically interact with
Since the characters’ relationships with their daemons are so crucial to the story, many of the scenes utilising them were filmed with an actor wielding a physical puppet, who could then be later edited out in post-production. [Ruth] Wilson and [Dafne] Keen noted how much having the actor physically playing their daemons made a difference, instead of just using a ball on a stick, because it gave them someone to interact with.
I think this is an excellent idea and I hope it becomes more common place alongside motion-capture performances.