I'm still thinking through how I want to set up my Cold One Knights. I've got 10 of them so far, but until I decide what I'm doing with them only five are built.
The original plan was to run a single unit of 9 Cold One Knights, a Battle Standard Bearer and a Sorceress. Or potentially 8 Knights and add a Dreadlord. The danger there is that there's a lot of points tied up in just 11 models; a good hit with a cannon, rock lobber, magic, etc. could make a real mess of things. Throwing in a magic item like Ring of Darkness would help protect from shooting, but I'm just not convinced it would be enough.
I've also considered running two units of five. This way I could have a small unit on either flank which would hopefully be able to clean up any skirmishers or bypass the enemy battle line and pick off war machines and shooty units lurking up the back. The down side here is that both units will suffer Stupidity without the Battle Standard Bearer re-roll, and the Sorceress could only accompany one of them.
Despite the vulnerabilities I'm still liking the idea of the big unit. A Battle Standard Bearer with the Hydra Banner in a unit like this is a devastating charge, and a Shadow Sorceress to debuff the enemy Strength is going to go a long way to help survivability in combat. Alternatively metal magic can boost the units ability to hit (Enchanted Blades) and survivability (Glittering Robe). And let's not forget the BSB reducing the risk of failing Stupidity, taking it from a 17% chance of failing to less than 3%! Add to all that the fact that at two ranks of five they're capable of disrupting flanks and you've got something pretty heavy-hitting to roll down one flank.