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How would I make a 2500 point customs list that involves Constantin Valdor, Sagittarum Guard, Venatari, and anybody else?

They all have 40k rules except Valdor, who you could run as Trajann.

As to building a 30k list you're going to want to think about your Troops first; in 30k your picks are spear-guard or sword/shield-guard, you can't mix and match. Spear-guard are more flexible but are only AP2 on the charge so they can be beaten up if you get jumped, shield-guard are more expensive but you can take power fists. I'd advise taking one shield-guard squad so you have something that can take a charge if you need to and one spear-guard for more cheap bodies.

Venatari are an odd unit; they're only marginally more expensive than the infantry despite the jump packs because of the 3+ armour. Move Through Cover means they can hug cover safely, so stay in cover as best you can with them. Both loadouts are sufficiently useful that you should probably mix and match (you'll need some lances to have AP2, but you can save a few points and have guys to tank power swords by having some buckler/pistol troops).

I dislike Sagittarii in 30k; they feel underarmed for their cost and role, vehicles and jetbikes do the job of contributing firepower better.

As to Valdor he's very competent at chopping people up but I don't think he's so much better that I'd give up the Tribune's ability to pick his Warlord Trait.

What are some units you would recommend?

The Coronus is a workhorse; if you can stomach the price tag it does a lot of things very well for not very many points, especially if you take it as a Dedicated Transport for a Troops unit so it can score objectives. It isn't an Assault Vehicle, unfortunately, so it's probably better taken as a transport for Sentinel Guard (who don't mind being charged) or Aquilons (who have a lot of shooting) rather than a unit with spears.

Jetbikes are very good; they do more work at range than in melee (their power lances are just power lances, S+1/AP3 charging and AP4 otherwise, not proper Custodian spears), but their guns are incredible and they can run about chasing isolated enemies/heavy weapons/etc. more easily than the rest of your army.

A Telemon is always useful in either 40k or 30k; it's really difficult to get rid of, and most of its loadouts are very flexible. Fist/Iliastus can effectively engage pretty much anything short of AV14.

What about stuff like the Sagittarum guard or Achilles dreadnought, are they worth it?

Sagittarii usually not. Jetbikes do everything they do better for not much more. Achillius is pretty good, isn't much in the way of trickery or complication to talk about with it (though do remember that Dreadnaughts get an extra attack per additional CCW so the spear does up it to A5), run at things and stab them. Though try and avoid meltabomb squads if you can.

From my experience:

Sagitarum Guard are trash. The Heavy Bolters will just be tanked 2+ ant 3+. They will get stuck/rekt in CC. I would rather take Custodian Guard with Adrasite Spears and give them teleportation transponders. At least they will be able to fight their way from 3+.

Achilus is meh. Costs too much and the D spear only works against big targets. Galatus is way better as a distraction carnifex. It also MURDERS ANYTHING it gets in close combat with: tanks, dreads, terminators, praetors, anything literally. Maybe even weaker Primarchs.

Telemon is beast.

Dickbikes are also very nice. Give them Adrathic or Las.

For troops you could take Spears or Shield+Fist combo if you want to lose friends.

Also, consider adding some Sisters of Silence for extra Shenanigans and cheap bodies to squat objectives.