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So we know that Eldar unfortunate enough to die without a soulstones are nomed by Slaanesh.

The soulstones that are placed in the infinity circuit may or may not be developing into some kind of Eldar Grim Reaper of Vengeance.

Loaded Dark Eldar get to nom the pain of others to regenerate their broken bodies.

But what exactly happen to the souls of Harlequins? Cegorach is their steward and hence Harlequin souls are free from the grasp of Slaanesh. But I never really figured out what Cegorach actually does with them.

Any thoughts?

He protects their souls, possably allowing Harliquins to continue the old Eldar norm of reincarnation. Or alternativly they just chill with him while he trolls the universe.

Actually, your everyday Harlequin does have a soulstone same as every other (non-Dark) eldar.
It's only the Solitaire, who plays the role of Slaanesh in the Harlequin's traditional Dance of the Fall, who doesn't have one. This is pretty much the reason he's the Solitaire. Even other Harlequins are wary of an eldar who doesn't wear a soulstone and impersonates She Who Thrists.
And his soul does go to Slaanesh unless Cegorach somehow manages to trick Slaanesh out of it. No records are provided concerning the success/fail rate of this.
What happens to the ones he does save isn't mentioned in any background material I'm aware of.

Noooo, it's stated quite clearly they're safe from Slaanesh.

The reason Solitaires don't have a soul is because, during the ritual, it's actually sucked out alongside the greater demon of Slaanesh they expunged from their possessed body.