I don't generally find this a huge issue, although I am currently facing a version of it with my Space Marine Captain/Chapter Master. I want him in Artificer Armour with the Teeth of Terra and a Storm Shield, maybe a Combi-Weapon and some toys, and that seems fine off the bat. But where does he go? It's an Ultramarine shooting army. There's no really useful place to put him. I'm thinking of upgrading him to a Chapter Master (going from playing GK to regular SM, I'm almost drowning in spare points - models that cost less than 33pts each, amazing!) and putting him with Honour Guard, which would look awesome, but that's basically the only unit I can put him with (just before someone says Hammernators - yeah, they're great, but I've painted 60 Terminators for my GK and my Deathwing before that, so I'm trying to steer clear of Terminators as far as possible).