My problem with Heat Lances are the cost and Range. They cost more than a DL with 1/2 the range, less Str and 1/4 the range to insure more damage.
Its a 345pts for 3x3 with HL, that is to me a HUGE cost and if i were to do that (not saying it is bad just saying its a lot of points) i would MAKE SURE to get the drugs i want and take cheap troops to protect them, Wyches of 5mans 1 weapon and agoniser is pretty cheap, taking 5-6 units and a Succubus will make sure to get your Reavers all +1 toughness, and you can use the Wyches to stop to large of threats the your bikes.
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Dark Eldar 10k+
AoS: BoC 8k, CoS 3k