It states in the Daemon book that Heralds may only join unit of the same faction, so you cannot have a Herald of Tzeentch join a unit of Bloodletters, I get that. But what about joining a unit of Furies, they have no faction and, according to the book, are made of up of the stuff of pure chaos! Figured the Furies would provide a nice bunker for a winged Herald of Tzeentch and would give the Furies a little more staying power with the Heralds LD.
A good idea to give him a bit of extra survivability, but unfortunately not allowed. I don't know about the daemon book specifically, but BRB (pg 97) "Unless otherwise stated a character cannot join.... a unit of fliers (too many ill-disciplined wings buffeting the sky)..."
For 20 points a Herald of Tzeentch can get wings making him a flyer as well. That is what gave me the idea.
Even if a character is a flier, it still cannot join units of fliers unless it specifically staes in the book. For example, the LM book says a chief on terradon may join units of terradons which specifically break the BRB. If the daemon book doesn't say something similar, you can't do it.