This is what I do personally; forget Henchmen, go straight heros right off the bat. You get more Money due to exploration rolls, and leveling up means alot more for a Hero than a henchman. You might be outnumbered, but your going to have the dead 'ardest group after a while, especially when you roll right and get amazing skills for your Bestigors. Also, if your model is taken OOA, you have quite a good chance to take something from it, and if you lose an Arm or such, all you have to do is send him to the Shadow Lord to regrow it back.
Just what I do personally. I should probably mention that my Cheiften lost his arm his second battle, I sent him to the Shadow Lord every chance I got, and he has Chaos Armor, a Daemon Weapon, AND got possessed, but still hasn't gotten his freakin arm back.....
Edit: However, having 15 guys isn't anything to laugh at, either.
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