Willy
It depends on what army you're playing. When I play for fun with my Tyranids I just set up a bunch of Biovores and spray all sorts of Spore Mines around. It leads to some fun stuff to see if they avoid them all.
Orcs used to have a troop called Mad Boyz or something like that, everything they did was based on a die roll. One round they'd be figting, the next round they'd be so impressed with something someone did on the other team, stop battle, go over and shake his hand. It was fun to see what they did.
Yeah, that's kind of why I like the Daemonhosts. They're so... Unpredictable, and cool!
Basically, I just keep them behind the rest of my army to let their powers fizzle semi-harmlessly and wait for a roll of 3 to make them teleport.
When I get it, I make them teleport into enemy lines and charge... And who knows what'll happen after that? Much craziness to ensue, especially if I have 3 of 'em!