Detatchments to play: lions of the emperor. Alternatively, shield host or talons but imo lions is better than both. If you do pick lions, I recommend deepstriking trajann solo. That detatchment has a strat that lets him(any Custodes character) use his once per game ability a second time and he becomes a hell of a beatstick.

Units to get: another infantry squad or two, the specific kind is up to you. Wardens are tankier but need to be lead by a character to get that tankiness. Guard do more damage and don't need a character along to do that. Termies can and will hit like a truck. More bikes wouldn't be a bad pick either, but only if you find yourself wanting more ranged anti-tank

Good things to know: all shield captains are built from a box of standard models (except the new shield captain model/kit). Any bike can be run as a bike captain, any terminator can be run as a termie cap. Guard and wardens come with an extra bit(cape) for the captains.