Welcome to Cryx.
From the way you speak about units working together I'm guessing you're coming across from
40k? If so, forget the idea that there is one way to play Cryx. You can have shooting Cryx, melee Cryx, undead Cryx, living Cryx, fast Cryx, slow Cryx, warjack Cryx, Infantry Cryx and most varieties inbetween.
So you're thinking of starting with Goreshade, not a bad choice. First off, is it
Goreshade the Bastard (Goreshade1) or
Goreshade the Cursed (Goreshade2) that has taken your interest? Which ever one it is you'll need to get a unit of Bane Thralls. After that I need to know which Goreshade to give out better advice.
Some generic thoughts though. Start small. Warmachine has battleboxes for good reasons. Firstly get people hooked cheaply

but also to learn the basics of how Warcasters and Warjacks interact. Also the theme lists are good but I'd never recommend following them as a new player. I feel that they restrict choices too much. But I totally understand following them as they can give out good bonuses.