I used an Alpha Legion CSM in one of my DH games. He was a sort of bodyguard or partner of a mighty psyker - the leader of a powerful cult. I took him from a Black Crusade adventure. He had usual CSM stats, but didn't wear power armour. Instead of this he wore leather armor and was armed with two-handed chainsword. So he was very dangerous in melee, but fortunately my players quickly understood this and kept him off. The final encounter was on a bridge. At the end the players blew it up, and CSM fell down from 0,5 km height. Of course, he survived, but his and players' roads haven't crossed anymore.