I'd say that their goals are that of Cegorach. They have served him for many millenia now, and I feel that if they weren't gurthering his goals, then he wouldn't have let them live. However, they could easily be working for their own unknown agenda, though I doubt it. Even if they were, there isn't really any way of knowing what Cegorach would do, him being likely the most unpredictable of all the gods in the 40k universe.
I'd say that their goals are basically what they were described to be: The uniting of the Eldar race. However, I don't think that they mean this in the way that it seems, or else they would likely have made some sort of headway into it already, beyond the Eldar that they have brought into their troupes. I think that possibly they mean to unite the Eldar in the afterlife, not in the real universe, and there battle Slaanesh, where it would be most vulnerable. In order to do this, they would have to teach the ways of the Laughing God, Cegorach, and teach the Eldar not to degenerate back into the state the were in before the Fall. They do this through the dances that they preform.
The battle they are uniting the Eldar for is definately the Rhana Dhandra, though as I said before, I fell that it would be on the spiritual plain as apposed to the physical plain. This would be the battle that makes the Warp once again safe for the Eldar souls to reside in.
This theory isn't fully worked out, and it's just something I've been toying with lately, but I feel it's a start. Anyway, stop all the suspence, and let's hear your theory.