Bits from the plastic daemon prince box might be the right size? not having either model set; balrog or daemon prince I wouldnt know exactly
lol! but for some reason I think its roughly the right kind of sizes?
edit I just popped to
GW webstie to look at the daemon princ kit, there is indeed an axe, although it might be a bit plain for a bloodthirster :(
I did get distracted by the new Eldar pre order for a good while though

plastic wraitguard!!

yay and something weely welly big!