One of the most important suggestions for any new player: read Plastikente's Dark Eldar Unit Guide
. Many, including myself, have found it to be invaluable when first starting out.
It gives a break down of what each unit does, it's strengths and weakness, as well as listing some of the more viable strategies for their use. From there, you can decide what seems like it would fit your playstyle best, making it easier to create a list.
That said, you're on the right track with Reavers if you want to run rings around the enemy. I don't think many would recommend Hellions, however (not without Baron Sassypants anyway).
Taming the shadows with questionable wit.