I think Penal Regiments are most commonly created by conscripting a bunch of troublemakers and cowards from already existing formations within the Imperial Guard - but your idea would work just as much, if you just give the Munitorum an incentive for doing so. Like having Imperial forces be hard pressed in the region, so that Adepts started to look for "alternate" sources of manpower. The prisoners of your penal colony were then given the option to volunteer for the Guard in exchange for the promise of having their sentence commuted if they survive a number of years. Needless to say, conditions within that penal colony should be suitably grimdark so that this would sound like a grand opportunity despite the danger. Make the colony sound like a proper gulag with forced labour and people dying due to crappy living conditions, lack of medical attention and a hellish environment. Life in a penal regiment would likely turn out not to be
much better, but the officer recruiting them would surely make it sound differently, giving a speech of glorious battles, mankind's need to fight for survival against the xenos filth, and your chance to earn the Emperor's forgiveness and save your immortal soul.
The commanding officer of the regiment would be an actual Imperial Guard veteran, but I think it's safe to say that he would prefer to stay in the back and just order your guys to do suicide charges Chenkov-style. This way, one of your own players can be the squad leader - not necessarily actually using the Sergeant class, as this would require specialist training for the job.
Equipment would probably be rather limited as the best stuff goes to "proper" soldiers. Give them a lasgun each and only 1 (or no!) extra chargepack, adding that they're supposed to pick up the next guy's ammo if he dies. Explosive collars might be common, too, in this case courtesy of the penal colony. If you want to get real creative, whip up a short list of additional items that the characters may have scrounged up individually - like letting them roll a d5, and on a roll of 1 they get a rusty shiv, on a 2 they get a box of lhos, on a 3 they get an iron tube (a club in the rules), etc.
Other than that, I think you should give the Last Chancers a look. It'd be an excellent inspiration, in addition to the penal regiment entry in the 5E Guard Codex.
http://wh40k.lexicanum.com/wiki/13th_Penal_Legion