Malekith is a much-disliked character among Dark Elf players. He costs a large amount, is fairly fragile, and dies quickly to any magical character sniping. However, some tactics suit him particularly well. These tactics can, and are reccomended to, be combined.
As a note, only large armies of more than 6000 points can hope to justify the investment. Otherwise, in smaller battles, he costs so much to the point where when (not if, when. People are smart, and will aim for whatever takes up 10% of your points limit and dies easily)
Thanks to the Absolute Power rule, Malekith is exceptional at ensuring particularly damaged units holding the line. Against highly shooty armies, you want to ensure as few units flee as possible. Against armies which inflict heavy casualties in combat, but pay for it in high ponts cost, same principle. Khornate Warriors of Chaos embody this. Spearmen will (eventually) wear them down, given enough numbers, but until that point it is best to avoid them turning tail and fleeing.
If your Druchii army is a shooty one, Malekith is ideally suited where he takes as little fire as possible, while providing his Absolute Power rule will ensure the units tasked with holding the line and providing a speedbump hang around for as long as possible.
Character/ War Machine Hunter
This tactic ends badly if placed incorrectly, which it is very easy to do. This way, Malekith can earn his points back. Place Malekith upon a Black Dragon and take full advantage of the Fly, Terror, and Noxious Breath special rules, and the survivability from those flaming (well, only rarely) artillery shots. If you roll it, use Soul Stealer as soon as possible. This probably goes without saying. 6W Malekith is a nightmare to most people. When possible, aim Malekith towards a unit with a character in it, or a war machine, or even better, a wizard. Don't expect Malekith to survive. Use this tactic only if you are desperate enough.
Malekith is a potent Wizard, and the Crown of Black Iron only makes him more powerful. Thus, using him as an artillery piece in his own right is effective. Backed up by a Sorceress with the Lore of Fire and a Sacrificial Dagger, and you can magic most things to death.
I'm not really enthusiastic about this, as without a Cold One, Malekith's survival rate against enemy units drops severely. The ideal setting would be Malekith on foot in a large unit of infantry. Very large.
Black Guard: Worth it for fluffy armies, useless in practice. The unit cap means they can be quickly reduced to ineffectiveness, and the point cost means you will hand heaps of VPs to your opponent.
Spearmen: In numbers of 60+ and with the Banner of Murder, they will stack heads upon the table. With a Cauldron of Blood blessing them with the Bloodshield of Khaine, they are in an easy position to both protect Malekith and provide heavy casualties on anything stupid enough to charge them. Throw in an Assassin to take care or slow down of challenging (in both senses) characters. A combat is not won by casualties alone.
Corsairs: Not much to say. They take fewer casualties from shooting, but perform worse in combat and cost more. You might as well paint "attack me" on in red.
Repeater Crossbowmen: This allows him to use his magic to its full potential, leaves him out of combat, and away from cannonballs. Unfortunately, large units of RCs are inefficient and likely to die quickly.
Witch Elves: Wait... what? Even if it was legal, well... I'll let you find out that for yourself why it's a bad idea.
There's only one choice worth mentioning: Cold One Knights. Get thirteen and have Malekith make up the fourteenth. In two ranks of seven, they're nasty. Add the Standard of Hag Graef to look for a bit of longer-term stability. Not much can be said.
Cold One: The bonus to his save is worth it the high cost. He needs the bonus to have a halfway decent AS. Against magic weapons, he may actually survive.
The Black Chariot: Uh, no. Not worth the investment. Even with Malekith aboard, it still needs the normal tactics of a chariot. Unlike other chariots, it cannot turn tail and flee if it is counter-charged. Any opponent who lets the Black Chariot into the flank or rear of their prized unit has the tactical acumen of a cabbage leaf and deserves to lose said unit.
Black Dragon: Unlike the rest of the Dark Elves, Malekith mounted upon a Black Dragon requires the approximate subtlety of a nuclear bomb. However, you can be safe in the knowledge that such a creature not only attracts every cannonball, but also the attention of every Hero and Lord choice around. While he becomes incredibly destructive, he pays for that in longevity. If he lasts until the end of a game, count yourselves lucky.