I'm currently playing in a Deathwatch game, but I'm considering what my next character might be, if my current one sacrifices himself to prevent the release of a ruinous power (as I think might be possible soon).
Given that the rest of the Kill-team are more investigatory than most kill teams, I'm considering bringing in a character from either Rogue trader or Dark Heresy. Either an Inquisitor of Ordo Malleus, seconded to the Ordo Xenos to assist with the problems the kill team is having, or possibly a Rogue Trader, looking for opportunities in the Jericho Reach that they have co-opted to help them get around more easily.
Our Deathwatch characters are all around Rank 4 (so 25,000+ XP). That would mean bringing in either a Rank 12 Dark Heresy Inquisitor or a Rank 7 Rogue Trader.
Obviously both Dark Heresy characters and Rogue Trader characters have much lower starting stats than Deathwatch characters, and even though it is much cheaper for them to raise their stats, they will never be able to raise their most important stats as high as the Battle Brothers. On the other hand, their skills, talents and (in particular) psychic powers are much cheaper, and I have no idea how powerful an ascended Imperial Psyker Inquisitor might be once converted to Deathwatch rules, nor how powerful a Rank 7 Astropath transcendent might be compared to a Rank 4 Librarian.
Even if we discount psyker powers, I wonder if the low cost of talents and skills for Dark Heresy and Rogue Trader characters might give these characters too much of an advantage outside of combat. The final obvious point is even if the Inquisitor/Rogue Trader has power armour, non Space Marines are pretty squishy compared to Space Marines, so I wonder how well they could survive in Space Marine combats, even keeping out of the way.
So, have you tried integrating Dark Heresy and/or Rogue Trader characters into your Deathwatch game, what problems did you have, and how did you solve them?