Christian,
Take a look at Adam77's Armyforge app under Epic Armageddon - you can play around with list building without wasting a lot of paper

Just keep in mind that the current cost of helblades and heltalons are 200 and 250, respectively.
For characters: Warlords are a must IMO - that supreme commander re-roll always seems to be necessary, plus he's cheap for BL
Choose a sorcerer lord if you want a FF-oriented formation.
Icon bearers are most useful when you take daemons and want to keep them around from turn to turn.
Champions are a necessity if you purchase a greater daemon. They're pretty much the only way you'll get the summoning points to summon the big guys.
Finally, I haven't really used Deamon Princes, but they provide a lot of extra engagement power I imagine.