It's not possible to use Shrine Weapons/Armors in HH.
I have a shrine cap for sorc and DAMN IS GOOD. Guess you have to make a mix depending on your class: gauntlets and the armor is good for knights, for exemple.
I use a mix of absolute, hh, cf and shrine set. As the cap does not work in HH, I use an Elite one so far. I don't think "full set of whatever" is good for any class in a big picture (CF is an isolated case in my point of view).
I mean, cf greaves are GREAT to mix with the others sets.
You really need to study your toon and check the best mix for it.