Well I used converted DE warriors for my first 750 points but when i extend this to 1500 after Christmas I intend to use a combination of DE warriors for the troupers and Gaurdians for the Squad leaders and more DJs.
To convert Harlequin troupers from DE i just cut down the shoulder pads, cut off some of the spikes, filed/cut down the helmets and gave them all plumes.
For CCWs and Shuripistols i just cut down Shurikats and made Chainswords out of splinter rifle barrels (Notice how the barrels are spikey on one side?).
Harles Kisses: Green stuff and a pin.
Power Weapons: Banshee swords and swords from the Chaos Maurader sprue.
DJs: Heads: simply skulls from the Chaos Warriors sprue, make slashes in their chest plate with a file and there you go, ribcage armour. EML made from a Splinter cannon, the back bit from a shuricannon and a weird missile thing from greenstuff. Bright lance got turned into a Dark Lance that was made from a Splinter Cannon with and extended barrel.
Characters: Cloaks from Chaos Mauraders + warriors, hood (for my shadowseer) from greenstuff, Powerblades from those DE blade things.
And generally some fancy painting later, they are very harlequinish.