I actually put this figure together before the release of the new Dark Eldar. At the time, I wanted to make up a Dark Eldar character to throw into Chaos Marine/Daemon/Dark Eldar Apocalypse army to go against my friend's Imperial Guard/Space Marine/Sisters/Grey Knights.
When I finally got to read the rulebook after the Dark Eldar came out, I found that Lady Malys fit perfectly.
I used a mix of regular Eldar, Dark Elf and Wood Elf parts plus little greenstuff to make the figure. I'll probably end up making more changes to the paints scheme as time goes on.