This is far from an optimized version of this deck, but it's what I had available when I built it.  Then I adjusted it a little bit.  Then it kept winning.  So I had to put the decklist on here.  It is what it is, and it works well enough.

Marchesa is pretty easy to build around... death triggers, ETB triggers, attack and combat triggers, etc, then sac your creatures with +1/+1 counters to a sac outlet before the end step of the opponent before you, get your death triggers and ETB triggers, then attack on your turn, replenish +1/+1 counters, rinse and repeat.  Because this leaves us without many blockers, I tried to lean a little heavier on cards that supply token crits for blocking, and I plan to add some ways to untap all my creatures after combat.  Cards will be acquired, and this list will be updated and in flux.  As I type this, I only built the deck less than two weeks ago.

One thing I dig is the synergy between Marchesa and the graft mechanic.  As creatures ETB, move +1/+1 counters from, say, Novijen Sages onto those creatures so they can be revived from a sacrifice, leaving one counter on the Sages.  At the end of the second main phase of every turn, you sacrifice each of these creatures to a sac outlet, then when they return at the beginning of that end step, have Novijen Sages ETB first, then each of the next three creatures gets a counter from it.  The next turn you do the same thing.  On each players' turn you're getting death and/or ETB triggers, and the creatures enter protected by the +1/+1 counters and Marchesa.  Helium Squirter and Vigean Graftmage are the other two graft cards in grixis.  All three have high value in the Marchesa deck.

Metallic Mimic adds an interesting layer of protection, because when you choose Human, not only is it protected with/by Marchesa, but so are another 10 creatures in the deck.  When they ETB after a round of sacrifices, the Mimic gets everyone protected.  So a creature wipe won't be enough to leave some of your creatures unprotected, assuming a sac outlet remains in play to avoid exiling/enchanting.