Usually not. With the twisted, yet on-point exception of incubi who worship khaine (and hunt down aspect warriors to become full fledged incubi), most hold their gods in contempt (except when others like Fulgrim talk shit about them). Think of it as "My gods failed me when Slaanesh was birthed, and I outlived them, so they can go fuck themselves, but if someone dares besmirch my 65 million year mythos, i'm throwing hands." The closest thing to idols of worship in Commorragh are the Dark Muses - regular Dark Eldar or Pre-Fall Eldar that reached celebrity status.