I'm trying to figure out what the best way to play this would be. The way I see it, you've actually got two routes:
The first route is that proposed by the OP, in which you actually bind daemons into grenades. This route is unreliable at best (daemons only manifest from a broken daemon weapon if you roll a result on the Perils table that results in a daemonic manifestation) and requires a significant investment of experience to pull off reliably (you need to invest heavily into Forbidden Lore: Warp or Daemonology (for binding the daemon), Tech-Use (to craft the grenades), and Intelligence (parent skill to both). Additionally, you need to spend a great deal of time building even one grenade, and once the grenade is gone, it's gone. A Heretek or a Q'Sal Magister would probably be the best route here.
The second route I can see is to actually take various Minion of Chaos talents and work with your GM to 'store' the daemons in various items about your person. One existing item in 40k fluff that would work well is a Necron Tesseract Labyrinth, although those would likely be of Near-Unique/Unique availability (depending on your GM). There's also the Castirian Soul Cage in Tome of Fate (though that requires an Opposed Willpower Test every hour). This requires a much smaller expenditure of exp (2000 for 4 Minions as opposed to over 4000 invested in Intelligence, Forbidden Lore and Tech-Use). It has the added benefit of your daemon not being immediately determined to kill you, and you don't need to spend weeks crafting replacement receptacles. An Apostate or Champion would likely be the best choice for this route for those juicy leadership talents that boost Loyalty.
In my opinion, the second route is much easier to pull off, but it does require some flexibility from your GM.