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Having just received my tax return (and having the game talked up to me by a couple of local players) I was looking at starting my own Warmahordes army. As a long-time Necron player, I simply couldn't say no to the lure of more zombie robots, so I'm going Cryx

That being said, coming into Warmahordes from 40k is a whole different ballgame, so I'm looking for a little help as to what I should buy to start out. I have access to the MkII book and Forces of Cryx and there's a few models I really like...but I'm lost as to where to go with list-building. I'd like to buy enough for a 35 point game to start and I've got a decent budget so cost isn't too much of an issue.

Some of the models I really like:
Lich Lord Terminus
Goreshade the Bastard (prefer Terminus, but Goreshade is a decent alternative)
Bane Thralls
Satyxis Raiders (particularly with Sea Witch attachment)
Deathjack
Mechanithralls
Revenant Crew of the Atramentous (comboing with Terminus' "Sacrificial Pawn just seems stupid good....)
The Withershadow Combine
Skarlock Thralls
Bane Lord Tartarus

Any thoughts on how I can build a decent list using these models? I've played a little bit of Iron Kingdoms RPG so I have at least a little familiarity with core rules.

EDIT: Should probably mention I will be primarily fighting against Cygnar and maybe some Khador.

The good news is all those pieces you listed are very commonly used, and would be excellent buys for you, with the possible exception of the Revenant Crew (I don't play Cryx, and they might well be OK, but I don't see them around nearly as much as the other units listed).

That said, I would suggest grabbing a battlebox to start with, just to learn the rules. Denegrah and the ripjaws will come in handy too, and the Slayer chassis can be good too (look into magnatising it to use it with the Slayer multi-kit). Starting small, and just with jacks helps to ease you into the game.

Meanwhile, If you like terminus good news - he's great. Pile him up with lots of infantry (expecially banes and mechanithralls) and bulldoze forward, with most of his undead minions getting Tough (a bit like a 5++ save basically) just from being near him. He's tough as nails, and likes to take the fight to the enemy himself quite often, especially on feat turn where he can be ARM25+ when camping focus.

I'll leave it to others to tell you more, as I'm not a Cryx player, but I will say you're on the right track