40K cosplay is always well-received by people who recognize it. Usually you only see the Imperium marching around but a good Eldar cosplay could be epic. Though, if you're going to go helmetless, expect everyone who isn't into 40K to look at you as a Space Elf.
That's because they are space elves.
Even the name is taken from a term that is used for the elves in the lord of the rings.
Just like the imperial guard are space germans/russians
space marines are space catholics
sisters of battle are space nuns
dark eldar are space dark elves
Chaos are space satanists
daemons are space demons
Tau are blue space asians
Kroot are space chickens
Tyranids are space bugs with a heavy influence from Alien
Necrons are space zombies/terminators