Each squad of Lesser Daemons are separate, so need to be rolled for separately each tern.
Most squads can either take an Icon (Icon of Slaanesh, Khorne, Chaos glory etc) or for squads like Bezerkers they can have a personal Icon.
Your lesser Daemon squad (well just the first marker model actually) can be places within 6" of any CSM icon that was on the board before the turn started (i.e, if you also had deep striking terminators, who came on same turn as Lesser Daemons, you can't DS the terminators, and then place the daemons within 6" of an icon they have...)
Lots of Lesser Daemons would be fun, but not effective. They don't have any of the advantages of the Daemons codex daemons (no fleet, rending, power weapons, furious charge etc) can only glance tanks to death, which is by no means reliable and are easy to kill. But it would be fun...
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