Being something of a traditionalist, personally i'd argue that something has gone very wrong if most encounters with Dark Eldar aren't resolved with a Brightlance.
The Harlequins are technically part of neither faction really, they are their own thing. As for the subject: Considering the Dark Eldar routinely rip out your soulstones and sometimes offer them to Slaanesh in the misguided belief that they can strike some sort of deal for their freedom...I wouldn't describe the races as close.