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It should be legal to stick a Knight in a HH army since they did exist at the time? I wonder if there will be new rules for them in Book 3 this year. I feel it would be awesome to have one marching along with my Deathguard.

Well fluffwise yeah it would be possible I believe. But currently I'm not sure if the rules specifically allow it, though the Codex may include something about it.
Honestly though I can't imagine anyone having an issue given that the HH rules already included provisions for Super Heavies and Lords of War before Escalation.
Also check out page 185 of Betrayal for the Ally chart in the Age of Darkness, again it''s hard to know if they would be Mechanicum or Imperial Army but should give you an idea.

Might also be worth popping Forgeworld an email to ask, they do tend to address rules questions concerning their products. (I know the Knight is a GW mini but it's their ruleset)

I'll see about calling tomorrow. Need to order something anyways. Will update if I get the chance to talk to FW.

Please let us know, as I was just thinking the same thing for my Heresy Salamanders.