First mate, your whe and whm textures have nothing to do with textures. Those are your models, animations and other information regarding these.
First you'll need to extract your textures using a SGA extractor. You'll do this the same way you've extracted the WHM and WHE files. (the SGA extractor can be found in FF under DoW utilities. I use dowrunsga..very easy to use.) Once your textures are extracted. You will have three types of files. WTP, RSH, and RTX, WTP is your team colourable file, it's actually a set of 5-6 textures using the alpha layers to allow your model to be team colourable. A RSH is the texture the game uses when it cannot find anything else. RTX are the ones used for the campaigns.
To extract these you'll need Ibboard's texture tool. found
Skins@HWT » Downloads » Download Details » Dawn of War Texture Tool v1.9 (Powered by Grots) here. This will allow you extract the skins to a tga (for WTP) or DDS (for the RSH and RTX.)
Once extracted, and edited, they will have to be turned back into their original format, Ibboard's tool does this as well. and put back into the appropriate folder structure.
IMPORTANT NOTE> when extracting your SGA files. DO NOT> save them in your DoW directory..very bad things will happen...very bad.
When replacing the final RSH WTP RTX, it must go here...C:\program files\THQ\your DoW edition\Your mod name\art\ebps\race\your race name\texture_share. (and must be named the same exact thing)
Show some stuff when you're done, I'm sure we'd all like to see it.
Cheers
WT