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In particular I was thinking an all mounted type thing... is there anything I should keep in mind? I'm not to good with magics... am I screwed by not taking a sorcerer?

Firsty as great as WOC all cav armies seem on paper, they always stuggle vs horde armies and often struggle vs well rounded lists and gunlines.

You end up with a very small army of super elite troops, and whilst a unit of 5 knights and a character are fantastic 2-3 and a character after 2 turns of shooting is much less so.

All mtd cav WOC are almost as point and click as Bretts, run like all hell at the enemy and be in combat turn 2.

Consider monsters. Dragon Ogres and Shaggoths are as fast as cavalry and can hit like trucks. I recommend a more solid core of marauder blocks if you're trying to go heavy cav.

As far as anti-magic goes, by not taking a sorcerer you can do alright - unless it's a competitive environment. If 'Ard Boyz has taught me anything it's that while magic has its risks, magic can very VERY easily rule the game. Anything from having easy solutions to hard units [Pit of Shades on Stegadon anyone?] to disrupting your line [Slaanesh and the lore of Beasts are good - Beasts would really mess with an all-cav army], magic can rule the field. You should have something to defend against it. The Collar of Khorne is a magic item that gives MR2. Fury of the Blood God is a daemonic gift that also gives MR2. An exalted hero with Fury of the Blood God and a flail on a barded steed can do a lot of damage on the cheap. A single sorcerer with the Infernal Puppet is a good idea. He'll add a dispel die, giving you 3 to play with. If someone casts spells with a small number of dice at your units, you can just use one army die plus your MR to have a good shot at cancelling most things. If you like you can take 2 level 2 sorcerers. Give one the puppet, give the other a power familiar and a dispel scroll. With that you'll have 7 dice to cast some spells of your own, 4 dispel dice plus MR on important units, a scroll for that one big spell they NEED to get off and throw lots of dice into, and the puppet can turn a normal miscast into something severe. Nothing beats turning someone's 5 into a 2!

Ask 40kenthusiast about his 'Monstrous Horde' list. WoC have access to a character that makes Trolls core and Ogres can hit pretty hard with GWs.

If you are running a monster list, then Kholek is a must. He's frighteningly strong and tough, and his only problem that you can't circumvent is his piss-poor initiative.