Monster hunting and training - fluff list idea

So I have this idea... The dark kin raids and captures animies to torture… wouldn’t it be nice if the captured monsters from different part of the universe to release and use in battle?? So a raiding party flyes out, captures some sort of monster to bring back to Commorragh in order to sell it to the highest bidding haemonculus. The haemonculus would then preform various experiments and training with it. Only for the fun of releasing it tormented and brainwashed in the face of the enemy.

You could legally take monsters from all of the codex and just adding them as Desperate Allies. What I am looking for is some formation that allows 1-2 monstrous creature to be taken, which then would be heavily converted to look dark eldarish.

I have looked at the daemons from the Khorne daemonkin, which would be nice and playable.. a deepstriking flying monstrous creature added to the dark elder force!

Do people like this idea and do you know of any small formation that could help this happened, besides with daemons?

I think there could be some nice fluff to the list by playing this way!

You can always do it unbound, or a small allied force.  Daemons and Tyranids would be easy to do like that.  You could potentially do Kroot in the same way, with some Grand Shaper or something as a counts-as Ethereal.

Space Wolves or Necrons could also pull out something like that.

The Canoptek Harvest formation would allow you to just use their 'monster' choices without the need for actual Necrons.

Been here before but can't resist posting them again
You could take Nid allies (CAD, AD or Leviathan) for 1-3 flyrants and 1-3 bombs fro troops like I did

You could also use things that weren't technically monstrous creatures, but simply model them as such. Like using the lizardmen bastildon as a "tank" with a gun howdah or with guns strapped to its side. And of course you could use the daemon slanaash rider mounts or the lizardmen or dark elf variants of cold ones as bikes.

I'm doing a similar thing with my Court, which the original background said was supposed to represent archetypes, then gave us specific aliens. Personally, I'm using some Ork Nobs for my Slythe, some Medusae converted from the FW Heretic Psykers with Tyranid bits added, facehugger-style, and a big insectoid looking hunting hound thing that counts as two Ur-Ghuls, made from a Tyranid Warrior crawling on all 6 legs with a converted head, as I really don't like the model for them.

I think from a fluff perspective you might have trouble arguing the capture of Daemons. Not only on the fact that Daemons could just dematerilize, but also on the Dark Eldar doing a pretty decent job of keeping themselves out of reacj of Slaanesh. Drawing her attention by trying to capture her might not be the greatest idea.
Tyranids are about the only race you could make a good case for, and I think the idea of using a CtA Allied detachment is the best option. A few FMCs would fit the bill quite nicely, but so might a nice Trygon dig, bursting out behind enemy lines with a few small units.

What about squigs? Or Kroot and their associated Seuss-esque krootbeasts?

Fantasy has all KINDS of models you could use as monstrous captives, too.

Also, daemons could theoretically be captured. If the Dark Eldar are anything, it's chaotic, which means a propensity to take huge risks. A daemonhost is the perfect sort of risk: it offers a vicious monster that can be relied on to viciously savage anyone who gets close, and can be tortured over and over again, only to heal itself anew each time.