Here's a list I've tried against slaanesh demons, it worked wonders. You don't really use your knights as anvils becuase they destroy most units they run into in the first round of combat

. Also the exalted on jugger is really scary!
The list:
Heroes-690pts.
Exalted-
Mok, Berserker sword, Shield, Juggernaut-230
Exalted-
Mok, Glaive of Putrefaction, Blasphemous Amulet, Shield Juggernaut-230
Sorcerer-Lv2,
MoT, Collar of Khorne, Book of Secrets, Conjoined Homunculus, Disc of Tzeench-230
Core-300pts.
Horsemen-5,
MoS, Flails, LA-90
Horsemen-5,
Mok, Flails, LA-115
Hounds-5 -30
Hounds-5 -30
Hounds-5 -30
Special-500pts.
Knights-5,
MoK, Standard-250
Knights-5,
MoK, Standard-250
My opponent was not pleased when he saw this on the opposite side of the table, use with care ;