Okay. Long-time MH and WH player here. I could ramble on for a while, so I'll try to keep my WH "tactica" as succinct and organized as possible.
Heroes:
First off, always, always max on heroes, no matter the warband. The more heroes you have, the more exploration rolls you get, and it's the wyrdstone that fuels your warband. So absolutely get a WP. And if you look at the WP's prayers, you'll see that most of them help in close combat or when you're close to the action. That means from a gameplay standpoint, the WP should get assigned to hand-to-hand duty.
Your Captain and WHs are a different story, however. The biggest problem WH warbands face compared to other human bands is a lack of numbers. You max at 12, most others max at 15. That means you can't afford a lot of casualties, especially among your heroes (because they're both expensive to replace and out-of-action heroes can't search for wyrdstone). That means you should assign your Capt. and WHs (again, take the max) for shooting duty.
Henchmen:
Since we've established that most of your heroes are to be assigned to shooting duty, that leaves your henchmen to do the bulk of the h2h work. And that's fine, since henchmen are cheap to replace. Shooting is very powerful in Mordheim, especially once your heroes get some BS and skill upgrades. But you'll need a decent h2h component in some scenarios and vs. some opponents.
Two main points regarding WH henchmen: Zealots stink and Warhounds are very good. Warhounds are fast, S4 (which is a big plus early in a campaign), and they're cheap to replace. I usually ignore Zealots at the outset and just max on the dogs.
Flagellents aren't bad. Their main problems are with their cost and their lack of attacks. They start slow, but get good when you get an extra attack on their profile. Since their S and Ld are already maxed, there's a decent change getting that advancement. Flagellent heroes really rock when you roll that Lad's Got Talent (and then take skills like Resilient
and Strongman). But overall, I tend to wait until I have a good cash reserve before I invest in Flagellents.
Skills:
The good news for your Capt. and WHs is that they have access to Shooting skills. My general rule for MH is that any character that has access to Shooting skills gets them. The first skill to choose is Quick Shot, because it obviously makes you twice as dangerous! After that, I usually choose Trick Shooter to ignore cover modifiers.
The other great skill list you have access to is the Academic list. Most warbands can't have the majority of their heroes with Academic skills, so that's an advantage you should exploit.
Concentrate on the "economic" skills. In order of preference, I'd probably take Wyrdstone Hunter, Haggle and Streetwise. Your low warband number is an advantage in one way...when it comes to cashing in wyrdstone. Once you get multiple Wyrdstone Hunters, maybe a Wyrdstone Pendant, etc., you're going to start dominating in the exploration and trading phases of the game. This is also a good thing, as gold is your fuel, as I stated earlier.
Equipment:
Always buy a second weapon for human heroes and henchmen. The extra attack is priceless. Never take armor on henchmen, and only take it on heroes when you have gold to blow.
Your Capt. and WHs should get crossbows, and a second h2h weapon in case they get charged or have to charge. Start with a cheap hammer and then upgrade to swords later when you have the gold. The WP should get at least one hammer for the extra attack. Later you might want to consider an ithilmar hammer, as it's pretty cheap for a +1 I bonus. Although I don't like pistols as a ranged weapon, you might consider handing some out to your Capt. and WHs or that extra first round h2h punch once you have the gold.
For the henchmen, Flagellents get flails so that (unlike 2xhanded weapons) you can strike first when you charge.
Among the miscellaneous equipment, consider getting the Halfling Cookbook (and maybe a Halfing Scout from the hired swords) relatively early to help out with your numbers restrictions. Lucky Charms can be very handy for your heroes when someone snipes them with a lucky shot. Wyrdstone pendants are also good, as I said earlier. Ropes and hooks can help you climb into good shooting positions. And a fun trick for a Flagellent hero is to give it Madcap Mushrooms so that it frenzies. Even if they turn you stupid, it doesn't matter...Flagellents auto-pass all Ld-based tests. 
Strategy:
Facing down four shooty heroes, most opponents will come to you. So what I generally look to do is cause some early casualties at range with my shooters, then get the charge with my h2h units, and hopefully force some quick rout tests.
It's primarily a defensive setup (as the mission allows), with the Capt. and WHs in prime shooting positions in buildings and the henchmen on the ground with the WP in support. I keep my henchmen together...splitting up your forces will generally lose you the game unless you're fielding Skaven. I play a game of "patty cake" with my henchmen...wherever their main force goes, my h2h force moves to intercept. What I'm looking to do is keep their stuff off my heroes for as long as possible. I try to get my dogs to get the charge and slow down their advance, hopefully in a spot that also gives my heroes shooting opportunities. On my next turn as a second wave of charges, my WP and Flagellents (if I have some) charge in.
However, I make sure I don't rush my h2h stuff too far forward. Lack of numbers means you have to have everything in position to support one another. You may even need to charge your WH heroes if things start getting rough, especially in a non-rout test game. If things are going really badly (and it's an option), just vol. rout and get your heroes out of there intact. Because of your academic skills, you can often end up better off in a loss than the warband that won!
Just keep thinking about mutual support...it's one of the keys to the game.
Conclusion:
Hopefully that helps. Overall, this tactica assumes campaign play. WHs are slow starters, but if you can avoid too many casualties early on, the rubber will hit the road once your heroes get sufficiently shooty and the gold starts rolling in. WHs are probably the weakest of the rulebook warbands, but I think they're pretty rewarding to play once you get them
rolling. However, note that it's especially challenging to play WHs in one-off games.
Good luck and happy witch-burning!
