I started out by buying the Iron Warriors conversion kit from GW. This was a good start for my unit of Havocs. They would have different heads and chests and it came with two las-cannons.
For the rest of the heavy weapons I just grabbed the heavy bolters that came with my boxes of Chaos Space Marines. These were easy enough to model up.
The tricky part was the autocannons. I looked around and didn't have any man-portable autocannon bits.
I didn't let this slow me down though. I simply cut the muzzle off of the heavy bolter, glued in two short pieces of plastic tubing, and then glued the muzzle back on. Instant autocannon.
I painted these guys up like the rest of my CSM force but with silver trim instead of gold to set them apart. They also have Iron Warrior shoulded pads and aren't as mutated as the rest of my troops according to the Iron Warriors Fluff.