0. Every legion could do everything. So in terms of what works... well, technically everything, but for now this is really the best piece of information:
1. By the fluff, the Thousand Sons are the smallest or second smallest legion, alongside the Raven Guard. Huge infantry blobs and anything that involves a Space Wolf or World Eater type of meat grinder would be a no-no. Infantry supported by Apothecaries, Librarians, transports, etc. would fit more. Otherwise fast moving ranged support like Land Speeders and Sicarans fit very well into the theme of precision strikes.
2. They always had some Egyptian stuff going on. You can even see that in their new Contemptor, which sports the same type of head. I';d say the modern headdresses are cool.