I prefer Josephine on its own, but I think Helena sounds better with Marguerite. Josephine and Marguerite share too many similar sounds. (And like mischa said, Helena and Josephine would make cute sisters!)
Congratulations! I like Josephine the best, but I like Helena Marguerite better as a combo. Josephine Marguerite looks quite long, but honestly, I love it so much, that gets my vote. :) Besides, a Josephine doesn't have to be Josie (although she could be if you liked!)--there's Posy, Poppy, Sephie/Sephy, Fifi, Fina, Effie, etc. Josephine is lovely!
Helena is much prettier!
Helena Marguerite is a much more balanced and mellifluous name. You need that vowel sound at the end (the -a) to lilt into Marguerite. Also, Josephine and Marguerite have nearly identical meters, with the last syllable stressed, so the name sounds repetitive and sing-songy.
he-LAY-na mar-gue-RITE nicely separates the stress and has a good balance between vowel & consonant sounds
jo-se-PHINE mar-gue-RITE is repetitive and has identical phonetic stcutures: open-open-closed syllable, starts & ends with consonants, etc.