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So I am trying to complete my small IG allied contingent. These guys need some heavy weapons, but which squads should have what?

Which heavy weapons should go into infantry squads, and which should be in their own heavy weapon squads? Which special weapons should go with which heavy weapon.
And how about sentinels? What they should be armed with? (And should they be scouts or armoured?)

Also, I'd like to utilise more than one weapon type from heavy weapon kit, so autocannon-for-everyone, is something I'd like to avoid.

I've heard the best way to field sentinels is the leave them as scout sentinels and arm them with a lascannon from getting side shots on vehicles. As for the infantry, I reccomend a split between Heavy bolters for anti-infantry, autocannons for anti-transport and lascannons for anti-tank. Lascannons will never be as effective as melta guns though so make sure you include that in the build of your army or you will struggle against armies with a lot of AV.

The autocannon is so common because it's the only good weapon available. Heavy Bolters are a joke, Missiles and Lascannons are too expensive for single shot BS3 weapons. Mortars are good now, so that's something to consider.

Basic infantry do just fine without heavy weapons, just blob up and bring lots of power axes and melta bombs. Lasguns en masse can kill infantry and an attached character with Fearless/ATSKNF will keep them around forever.

As for Sentinels, it's really autocannon or go home. The combination of low cost, good strength and multiple shots really makes it the best weapon by a mile.

As a marine player it never even occurred to me to not give infantry squads heavy weapons. They are so cheap.

And it is shame that heavy bolters suck. (in general, not just for the guard.) It is one of my favourite weapons appearance-wise, but yes, at the same price autocannon, there is no point taking one.