[Chumbalaya]

Sanguinor can't join units and costs a redonkulous amount. Go for a Librarian instead. Psychic Defense and utility powers like Blood Lance and Shield of Sanguinius are extremely useful.

Sangy Guard are handy, but they will suffer with AP2 junk, hence the need for Shield of Sanguinius.

Vanguard are an excellent addition to your army. You can DS in and pop tanks with melta, but that leaves you open to a potential counter attack. VV can drop in and charge what comes out, keeping them from turning your SG into a fine red mist.

 

[Chumbalaya]

For SG, I like the 2 infernus and PF set up. Relatively cheap and versatile. Infernus are short ranged, but if it's all you have it's all you have.

Vanguard I like set up with a couple storm shields, a TH and some LCs. They're pricey, but they can take a punch and dish out plenty of damage themselves. A great anvil to deal with units your SG don't like (TH/SS Terms, MCs, etc).