I found Orcs & Gobbos very difficult to run in Mordheim. Mordheim rewards and is built around careful micromanagement of individual models, and the Orcs' animosity rules tend to shoot that to hell. Badly. You'll set up a turn perfectly, and then watch as models don't do what you need them to.
They also only start with 4 heroes, which hamstrings you from the start for wyrdstone searching. Hired swords might be a good way to fill some holes (although I'm generally not a big hired sword guy), but your selection is limited there too.
Having said all of that, the best success I had was running them was somewhat contrary to one's first instinct -- namely, shooty heroes and choppy henchmen. It looks like you're partially on the right path there.
Note that your Boss AND Big 'Uns get shooty skills. One of gorgon's first rules of MH is that if you have heroes with Shooting skills, get them right away, and Quick Shot should be your first. Doubling your offensive output is amazing. Don't sweat your
BS...those will increase. Later, other skills like Trick Shooter can also help you achieve more hits. Keep those shooty heroes out of the fray (preserve your heroes is another rule of MH) and let them blaze away at range. Personally I greatly prefer crossbows...better range and hit harder. Don't worry about move-and-fire bow shenanigans. Again, the shooting won't be great at first, but it will get better.
For henchmen, just field a bunch of gobbos and squigs at first, and run them as a big mob that can control areas, overwhelm things with numbers and provide a screen for your heroes. Generally speaking, if you're facing a choppy or balanced warband, don't charge the mob all across the table so much as just kinda mush forward somewhat. Against supershooty firebase warbands, you'll need to go get them. Obviously different scenarios will call for different tactics. Don't pass out bows to gobbos...club and dagger is fine to start. They're a bunch of fodder and chaff, but they'll get some crits here in melee and there. Oh, your Shaman can run with the mob too. I generally like keeping heroes out of harm's way, but he'll accomplish more up front than in back.
Then as you start gaining gold, start working in some henchmen Boyz. My goal with them was usually to make them a flex unit, with bows and 2 weapons. That way they can sit and shoot (assuming animosity tests are passed) or pile in if needed. You'll need some Boyz at some point if you want to get the 5th hero (and again, when that happens...SHOOTING SKILLS).
To answer your specific questions...
1) Yes. Don't bother with most of it. Helmets can be useful. I don't hate shields on shooty characters, although it's not something I start with.
2) Clubs are great...cheap, with a good crit table. Don't mess with other h2h weapons until your band is more established. This could take some time. IME, Orc & Gobbo warbands tend to be one of the poorer bands around due to the hero restrictions, the need to replace casualties, and warband sizes that tend to be higher rather than lower.
3) Covered that above.
4) Covered that above.
Good luck to you. They really aren't easy to run. Keeping your sense of humor during games will be important.