A friend and I did this last winter. He created a Gene Stealer Cult, and I made an Inquisitor with his retinue. You can totally do this. My retinue had a sister of battle, a grot, an orc, a gene stealer, and a chaos cultist flamer guy.. If you look in the alternative sci fi game section you might actually see a few posts about this.
Here:
https://www.dakkadakka.com/dakkaforum/posts/list/713546.page
Best way to proceed is grab models you like (4-5 of them) and just build their abilities, traits and equiptment based on fluff and what you see on model. Dont try to make a team then find models, you'll get annoyed fast.
Rogue Star is a real fun skirmish game but has
A LOT to keep track of. It has an original style of player turns, where during your turn, the opponent can interrupt you, or even steal the turn from you! I usually play
40k in a garage, so in winter we head indoors and do skirmish games. This is now one of our go to games along with a few of the other Osprey Games stuff.