You can read what little there is about them here.
The Extinction Angels had been fighting on Deimos Primary under the banner of Abaddon the Despoiler during the early days of the 13th Black Crusade. Their task was to disable the various Mechanicus facilities there. Unfortunately despite many successes the planet was liberated by the Black Templars chapter and the warband was forced into the lower levels of the main facility. The Black Templars enacted a sweep and clear, slowly eradicating the survivours.
Not all were slain however. Champion Magnus Creel had long suspected that the Despoiler was just using warbands like the Extinction Angels as expendable cannon fodder. Unhappy with this situation, Creel puts escape plans in motion long before the warband reached Deimos Primary, to enable his escape along with those loyal to him. Utilising an ancient relic recovered on some distant world, he was able to open a warp corridor to a waiting ship on the edge of the system. Leaving the rest to die, Creel and his followers departed for Imperial space. Since that time, the warband has raided Imperial backwater worlds for supplies and wargear.
The Extinction Angels are primarily servants of Slaanesh but in order to grow the warband in strength, Magnus Creel has accepted a handful of others into their number, including a number of Death Guard. Creel has also made an alliance with the Tzeentchian sorcerer Tallos. In return for the use of his sorcery and the thousand sons he commands, Creel has agreed to aid him in recovering certain relics and secrets scattered across the Tyken Sector.
The Extinction Angels as were are no more, but under Magnus Creel's leadership they may well go far and bring much destruction to the worlds of the false Emperor!
Not my painting, just a representation of what they look like.