Remember that if you do this, you don't get independant characters. They're tied, inexorably, to the command squad you buy.
It's a neat trick, but don't go insane with it as characters are expensive as hell - the most practical application, to my mind, is attaching a cheap reclusiarch chaplain to a master or librarian's command squad to give fearlessness and litanies of hate. You only need the codex command squad rules to do this if fielding another HQ character elsewhere, though.
Equally, dark angels have some nice hq tricks of their own because unlike codex chapters their HQ characters aren't tied to staying with their command squads - so you can have a 120 or so point command squad with a sacred standard standing in the middle of your battle company forces, making them all fearless, whilst the Interrogator-Chaplain suits up in tactical dreadnought plate, joins a squad of deathwing terminator veterans and deepstrikes into the heart of the enemy lines to take names and kick arse.
