Letting everyone create their own regiment is fun however it needs to be policed, otherwise you've got the guy who can requisition muskets and knives from his skirmisher regiment next to the tank company. It also removes a lot of the reasons players might work together. However it can also be pretty fun, personality and regiment clashes, different styles working together and all that.
I like playing Only War a little different. I tended to run NCIS style games, or missions where the guardsmen were part of a first contact scenario to a minor xenos or forgotten human empire. I found the prolonged combat campaign idea pretty boring, but it's up to you and your players. Talk to them and come up with yourself plan.