My advice with lesser daemons is to field them in as many squads as possible. As in if you have 30 go for 6 squads of 5 instead of 1 squad of 20 and one squad of ten. This is to give more tactical abilty as if they come in in one place but you wanted them in another later you'd still have some in reserve. Also it improves the chance of them arriving and makes DS easier. As well as this it means that the casualties caused are reduced as:
1)less hits from blasts/templates
2)they can only kill a maximum of 5 with one squads fire.
This is a major disadvantage in annihilation as its lots of free kill points for the enemy so this tactic only works when you know which mission you will be playing and it doesn't involve kill points.
I prefure to use Lesser daemons in units of 10. for a few reasons;
1 - Becuase they don't scatter with deep strike(as they HAVE to DS within 6" of an Icon).
2 - a unit of 10 isn't so large they attrat alot of fire but not so small they they are an easy kill point
3 - All but Nurgle have Daemons in boxes of 10 now making them easy to collect and if your going with Thousand sons you'll be wanted to use Horrors for fluff.
4 - Invurable saves mean that only a few weapons won't give them saves(Psycannons or Necron War sythes)