Yeah you'd be fine with regular space marines, which come with bolter OR bolt pistol and close combat weapon, or raptors. It's the same as any marine army would have... Fact is Slaanesh are not an army designed to be beasts in close combat so that's why the choices are limited there. As it is, your marines have same weapon skill as my scorpions and banshees and higher strength and toughness but lower initiative. You'll be fine. I think you can get higher initiative with an Icon of Slaanesh.