Is worshipping Asmodeus okay here?
Real men worship Orcus.
Well I have no intentions of causing chaos or undead :p on said character.
APp required.
Asmodeus isn't a deity (yet) in this setting, as it is based on 3rd edition DnD, not 4th, where Asmodeus has absorbed the dead Azuth's divine essence (who is still very much an alive deity here).
There is of course a cult of Asmodeus, so worship is definitely possible. A cleric might be pushing it, though.
I'd ask a DM if your character could have knowledge of Asmodeus without an app. Cleric will probably be no go either way but until a DM responds with an official decision, who can say?