Thanks! I think I'm going to go with a heretic rabble. I've actually come up with a few ideas of what each figure should be...
>Jinx: Slaanesh cultist, ex-streetwalker, has taken so many combat drugs that she's now on a permanent high.
>Top hat: Khorne cyborg, used to be an Arbites enforcer. Got addicted to bionic upgrades, is now more machine than woman.
>Pink hair: Nurgle mutant, former Sororitas. Survived horrible mutagenic plague that wiped out her squad, embraced the Grandfather after being declared "unclean" by Imperial forces.
>Heimer: Nurgling/cyber-cherub creature.
>Black dude: Tzeentch heretic, traitor guardsman with a gambling addiction (in part because of his unnaturally good luck and prescience).