First, SW is a fine pick for the first army. They have IMHO the best Hq choice in the game...the rune priest.
You will need to try to get your hands on as many space marines missile launchers as you can. You will need 5 for every long fang, one of the better heavy support choices in the game.
The rest just comes from playing the game.
"When you get to heaven may the Devil be your judge.."