Every Eldar is at risk of losing his/her soul to She-Who-Thirsts. Fortunately, there are ways to protect themselves from that:
Craftworld Eldars wear spirit stones and follow strict mental Paths, that lock them for years into one state of mind, therefore reducing the chance of falling prey to the indulgences of Slaanesh. When such Eldar dies, his soul is transferred to the stone and then to the crystal Infinite Circuit.
Exodites are protected by the World Spirit - a spiritual being protecting the Maiden World where they reside. If they would ever leave their home planet, they would be completely unprotected.
Harlequins are almost certainly immune and there are two versions regarding this immunity: one said that they are simply protected by Cegorach, the Laughing God. Another one says, that each candidate has to undergo a possession by the demon and then they need to exorcise the said demon by using their own will, which makes them immune from further demonic influences.
Dark Eldars are the most influenced by She-Who-Thirsts, and their souls are constantly drained by Her. But instead of protecting themselves from it, they keep replenishing themselves by causing pain and torture to others.
The newest group is called Ynnari - those are the followers of the nascent god of death Ynnead. Eldars from all groups flock to them looking in hope for the future - but how do they protect themselves from Slaanesh? Are they following the old ways (so Dark Eldars keep they happy tortures while Craftworlders live like ascetic monks) or is Ynnaed strong enough to protect them?