To quote myself from a thread from before
Quite a few Heresy novels feature the Custodes in action. Two of the main novels you'd want to look at would be the short story Blood Games by Dan Abnett, which is contained in the Tales of Heresy anthology. The first part introduces a Custodian, Amon Tauromachian, on a Blood Game, an exercise in which a lone Custodian will attempt break into the Imperial Palace and attempt to 'attack' the Emperor, to test their own defences. The second part of the short has two Custodians on an investigation on Terra.
The second main novel to feature them prominently is The First Heretic by ADB. The main plot of the novel itself is Lorgar and his Word Bearers corruption, and them joining the Gods. At a point in the novel, a group of five Custodians are attached to watch over the Word Bearers, their leader Aquillon become a central character of the story and as a result, a good deal of insight is gained on how the Custodes interact with the Astartes, how they fight as a unit and their way of operating in general.
They go on to appear in more minor roles in quite a few other novels. The Chief Custodian of the Legio Custodes, Captain-General Constantin Valdor has a key role in Nemesis as he and Malcador recruit a team of assassins to kill Horus.
They appear in a very small, yet arguably important role in A Thousand Sons, both at Nikaea and the Burning of Prospero itself.
Amon and Valdor both appear again in Prospero Burns, once again at Nikaea, so it's another even more brief, yet still important appearance.
A trio of Custodians feature in The Outcast Dead(an admittedly very poor novel), though they are generally quite unimportant to the novel and doesn't cast them in the best of light.
Their appearance in Deliverance Lost, is probably the smallest and most insignificant of their appearances, in once again, a pretty poor novel. It gives no insight whatsoever into them and they may as well not even be in it.
A Custodian is also one of the central characters of Garro: Sword of Truth, an audio. I'm not the biggest fans of audios anyway, and the Custodian is a pretty big tool in it, once again another poor portrayal imo.
Further to that, I've now also read Hands of the Emperor
, the first short in the HH Weekender anthology, The Imperial Truth
. Which portrays a Custodian taking over for the watch of the Palace and all the myriad of problems and issues that come with it, the chief one being a stand off and potential engagement with the Imperial Fists, when the orders of Rogal Dorn conflict with those of the Custodes. It's an interesting story, showing the tension that exists between the Legio Custodes and Legio Astartes and who they consider to have more authority. Valdor also features in a small role.