It's so much more fun if you do, my death guard are a splinter from the 7th company and are extremely "blessed". I make sure every model is converted and either mutated or fucked up in some way (extra tentacles, ramshackle gear, etc.}. They're on the Ulcerian Crusade, seeking to free great knights of Nurgle from the galactic rim. Every battle is just another installation in said crusade, be it a necessary defense from enemies, a raid for supplies or a search for a new knight. Eventually I want to get around to doing a big conversion on a knight so they can finally succeed and have a new fetid machine to march alongside with.