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Do any of the Warriors of Chaos players on this board have any suggestions on what to use to go after enemy war machines? An Exalted Hero on either a Slannesh mount, or a Tzeentch mount seem like they could be one way to do it, if I can get them around the enemy line. Using Steed of Shadows on a hero has is possibilities as well. Marauder Horse? Anybody have any suggestions?

You’ve pretty much summed it up. Marauder horse, a flying hero on disc of tzeentch, or throwing a hero at it with Steed of Shadows (this works better if you give him the Book of Secrets so he can cast it on himself later if needed so he’s not stranded).

Other ideas:
Taking lots of fast stuff so you get across the table and into combat sooner.
Hellcannons can give counterbattery fire. If they land a hit on a war machine they’ll pop it.
The special character who can walk on the enemy table edge in a unit of marauders.