Like just about every army, they benefit from a combined arms approach until you are really comfortable with them and their abilities.
Shield of Taeflon and the two Legionnaire leaders (the Keepers and Winterhawk) are the only models with defensive insights, so I usually recommend owning at least 2 Shields and 2 Keepers. Don’t have to use all of them all the time, but always nice in case you do.
Children, mostly the Wrath, like to get stuck in with 2 or more enemies, as most of their buffs, from trainings and insights, revolve around having 2 enemies engaged. DO NOT forget the forced movement on the Wraths melee attack. Dragging models around is crucial to setting up the 1v2’s they really like.
Legionnaires are pretty standard stock line troops, they have a bit of staying power if you keep them in base with each other, both with guard and their healing vapors. They aren’t offensive powerhouses, but the Keepers inspire (the thing they get if he activates them) gives them a nifty 1 die ranged magical blast, which opens up some options for attacking. Just watch out for backlash!
Shields of Taeflon are usually better than Hammers of Heaven. Hammers play just like a bit beefier Wrath. Nice, and can hold their own, but Shields can kill off whole armies on their own if your opponent is rolling poorly. Their Insight causes potential deaths on 30-40% of the dice rolled, and unlike other factions attack back abilities, this one happens even if they kill off the target. That loses some effect against Hadross and strong willed models, but I’ve seen the Insight do like 13 wounds across a game, brutal!
Defiantly want the character boxes, the specialists there can be absolutely brutal. Deathbloom and Red Demon can kill off 2-3 guys a turn, and bounce around to where you need them to be, and Red Willow’s hidden deployment can open up some activation trickery. The Leaders box, which contains the previously mentioned Winterhawk, should be coming out soon, so I won’t go into too much about them.
We don’t really play intro games around here anymore, and Shael Han feels a bit weaker if you do, because they can’t bring all their tricks to the party in such a small game, but at Skirmish or Battle level they can do fairly well.
Pretty standard “all comers” Skirmish list would be
6 Wrath
1 Big Sister
6 Legionnaires
2 Keepers
2 Shields of Taeflon
Optional: 6 more Legionnaires
10 morale
Nothing big and flashy, but very solid list to get used to the game and see which models work well for you. Biggest trap many SH players fall into is rushing out the Wrath, leaving all the defensive buffs far behind, since they start one DZ behind from the start. This usually gets your Wrath killed off, then you need your Legionnaires to carry the game, which can happen, but is a really hard uphill climb.