Right *cracks knuckles*
Valkia the Bloody is a good lord, by keep her away from cannons because she has no ward save.
Firstly, drop the shields on anything with Mark of Khorne, they have frenzy so they won't use their shields for anything other than bashing people in the skull. Axe of Might is useless when you can take a halberd for less than a third of the price. Fencer Blades are also a waste, an exaulted hero is WS7 already.
There is no need for
GW on Chaos Warriors, you strike before most things in the game (elves aside) and
GW's are only better against things which are T4. Stick Halberds on them.
Your sorcerer has
MoT, leave him unmarked so he has a wider selection of spells.
For that unit of marauders, you could probably get 15
MoK warriors for a similar price, warriors are better.
Also no need for a magic banner on the knights, they shouldn't be fighting a unit on their own already (although with the Khorne theme going on, I'm surprised that you have got a unit of Skullcrushers.)
Hope this helps