Alright, there is a heavier trasport than the Vampire, but nobody ever aknowleges it. BIOTITANS!!! They do not carry according to what the unit is, but how many wounds it has, so therefore can transport anything that has wounds (and is a tyranid). Also, Wraithlords don't fit DE fluff at all. It just doesn't seem right for an army that is supposed to be fast and fragile to have something with toughness 8.
Anothing thing, I designed a wraithlord variant with a jetpack. I used the large piece of a support wepaon battery. It looks really cool too. I'll get around to postingit when I send my craftworld in for posting. Just thought I'd mention this because of what someone was saying about flying wraithlords.
Honestly though, you gotta keep it fair. Making a wraithlord highly mobile means you can get closer to the enmey to use it's CC weapons. That's why my variant doesn't have a very good CC capability and is pretty much a walking cluster of guns.
Either way, you can't add it to the retinue, I don't think. But, you could always just walk the wraithlord along with the retinue. I'm not sure, but maybe those backpacks on the Incubi will go past it's knees, so that would give it a cover save, I think.