not so crazy. Imperial Knights and Blood Angels both fight for the Imperium of Man, so you can do it.
The way it works is you're going to have two detatchments in your army - say a Battallion Detachment for your Blood Angels, with ~ 1500 points of models. You'll pick an
HQ here to be your Warlord.
Then you have an Allied Detatchment in the Lords of War category, and that's where you plonk your Knight/Titan/Baneblade down.
For more on how Detatchments work, see this page
https://www.warhammer-community.com/2017/05/05/new-warhammer-40000-battle-forged-armiesgw-homepage-post-4/
For more on how allied detatchments work, see the 8th edition rulebook!