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I have a Daemons Undivided battalion. I'd like to add a Dreadblade in an Auxiliary detachment.
My warlord is a Bloodthirster.

Will I have to pay 3CP for the Dreadblade?
What if I give the Dreadblade the Khorne keyword, will I still have to pay 3CP?

Thanks!

Yes and yes. The Dreadblade and the Warlord do not share a Faction Keyword that is not Chaos, so you must pay the CP Cost for the detachment.

Note that while you can give the Dreadblade the Khorne keyword, it is not a Faction Keyword. None of the rules that allow you to add Khorne as a Keyword state it is added as a Faction Keyword.

Ok, great, thanks.

IS there a way to avoid the steep CP tax and take a majority of Daemons and a single Chaos Knight?

I do not think so. The knights are fun and all, but 3 CP for them is a lot.

You can take the Disciples of Belakor AoR and get a 0CP Knight in a detachment but you have to take Belakor as your warlord.