I just stumbled on this site and thought it had some really good ideas on Chaos Daemon units.
One interesting idea was to not take any icons. The reasoning is that you are already random and by the time you will be able to use them most of your units will be in hand to hand so it would mitigate the benefit. Not sure on this one. I will definitely give it a try for a game or two and see how it works.
Link - http://40kdaemonreview.blogspot.com/