I didn't go overboard with these guys. As per recommendations from dakka, I used a black undercoat, painted them Regal Blue, then drybrushed in two stages, first with Ultramarine Blue then with Ice Blue. Eventually I decided that a final stage of additional Ice Blue highlights was necessary. I'm not thrilled with how the helmets turned out, but in the end a simple skull white without highlights looks the most striking.
I have five more to paint, including the Exarch.
I'll need two squads of 10 in the end, mounted up in Wave Serpents. The Serpents will roll up to the bad guys and spin, the Avengers jump out and Bladestorm.
I'm a little sketchy on what they do after that. I figure it's either "high fives all around" or "horrible, unspeakable death."