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The DE live in the Webway, an alternate dimension that the pre-fall Eldar created so they wouldn't have to deal with Warp travel (which shows how advanced pre-fall Eldar were). Unlike the Warp, the Webway is kind of a series of tubes, some small enough that only a small ship can fit, some big enough to hold whole cities. It's much more stable and safer than the Warp, obviously, but apparently there still some creatures that seem very warp-entity like. The DE would be safe in the Webway, provided that other races don't find a way in (which has happened before, forces and individuals of the Imperium have got in there, and the Thousand Sons are almost as good at traversing it as the Eldar). However, the DE have another problem. To keep themselves alive forever, and cheat Slaanesh, the DE have to keep torturing lesser races. Without the "soul/pain energy" (I don't think it has an official name) that, they can't make clones or extend their lifespans (Eldar live a really long time, but will still die of old age eventually). So the DE NEED to leave the webway and harvest sentient races. It's not something they do just for fun (although they've grown to enjoy it). It's a means of survival. Tyranids, Orks, or Necrons consuming everything would be very bad for them, because they can't really torture those races. As for the DE having more than the Craftworld Eldar, there's no solid fluff to indicate that. We know their main city, Commorragh, is pretty huge, and they have a couple, lesser cities in the webway, as well as handful of little outcast empires in real space. The CE meanwhile seem to have dozens, or possible even hundreds of Craftworlds. The fluff has never really given an indication of how the numbers compare.
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