I'm building an entire Exodite army, can confirm the shadow warrior torsos and heads work well with guardian legs and arms. Eternal guard are much more difficult because the bodies aren't split at the waist, they're split up the middle, so torso front with one leg and torso back with the other leg. I'm keeping the legs on those and just adding arms to make exodite waywatchers (rangers).
I'm also using the Vanari Auralan Wardens, but I'm making them into warlock equivalents. You should bear in mind that the triangular scale mail at the armpits are often attached to the arm rather than the torso, so if you're keeping that part of the design, you may have to greenstuff the scale mail back on once you've put new arms on, or find some way of removing it from the arms.
The HWP, I've seen other people do similar things with the cold one, it just depends how you want to mount it. I've seen the weapon mounted on the back and to be honest, I've always thought that looked a bit awkward. They might look better side-slung, but then you'd need something on the other side of the cold one to balance it out. Because I'm creating my own unique units and codex, I'm not bothering with HWPs and I'm keeping the cold ones for jetbikes and shining spears type troops.
Suggestions for other models:
The obvious choice for banshees would be the witch aelves, but scorpions may be more difficult. It all depends what kind of aesthetic you want to go for for them. The current scorpion sword arms are obviously easy enough to attach to other torsos, though the scorpion shuriken pistol arms would need carefully cutting off the body. For the banshees, I've seen people use the hair from the witch aelf and attach it to drukhari scourge helmets and I think that looks pretty good. The bodies and arms might need fairly substantial greenstuffing, though, again depending on the aesthetic you're going for.
I'm interested to see what you come up with - I'm not above stealing other people's good ideas for my own exodite army!