No, you are right. The more painful a slaaneshis death, them ore joy you give them! Burning them alive is out of the question! You either should find a way to kill them with absolute boredoom or just kill them swiftly without them even noticing. Doing that you rob them of their final greatest pleasure. The swifter and more suprising a death, the better!
And when they are truly dead, you burn them, but not before!