Oh this devotion point is a pain in the butt to get because Yukine is the hardest character to actually get with.
Its during your talk with Yukine after the team leaves the mall. You need to select the following:
How are you able to keep calm in these situations?
Is that why you're so.... emotionless?
Here I thought you were almost naked to show off."
After that point choose the option about sheaths and go from there it's pretty self-explanatory. Yukine's route is designed to be hard as you will learn later on while playing.