Well... first thing you should do is visit
http://space-wolves-grey.blogspot.com/ . There is a lot of great information there for people who are new to wolves. Hopefully you have caught on that discounted missile devastator squads (long fangs) are pretty much the greatest thing ever. As soon as you start playing with those your Tau friend will start having new gremlins to deal with. How to run Grey Hunters is totally up to you. There are two popular ways to do it. The first is putting 5
GH with a melta gun and a
WG with a combi melta in a rhino. The second is putting 7-9
GH with a pretty heavy war gear load out (melta gun, wolf standard, mark of the wulfen) and a
WG with combi melta and power fist in a rhino. Both of them are tried and true ways of running them. As long as you stick with grey hunters, transports, and missile fangs you are bound to have a strong army. If you are working on things gradually I would suggest making each box it's own unit. Build 1
GH with a banner, 1 with a melta, 1 with a mark of the wulfen (be creative!), and 6 with bolters. Make the 10th guy a
WG with a converted combi melta on one arm and a magnet on the other so that you can swap it for a powerfist, chain sword, or wolf claw. I know this is sort of specific and by all means to do your own thing. The only reason why I am telling you this is because I wish that someone told me this stuff when I first started my army. One last thing.... if you do not have easy access to melta and missile launchers consider buying the forge world special weapon packs. They come with 2 missiles, 2 meltas, and 2 flamers for around 20 bucks if I recall. Expensive? Yes, but when you look at what bit sites are charging for melta and missiles you will change your mind. Seriously. Good luck!