Originally Posted by
Mr.Gold
from "The Fall of Cadia" Greyfax, Cawl & Celestine can be taken as a HQ choice in a detachment belonging to thier faction (i.e. Inquisition for Greyfax), or as a HQ Choice for any CAD/Allied Detachment comprised of an Armies of the Imperium Faction." Greyfax may also replace an inquisitor where appropriate in formations.
probably the best way to run Greyfax is to get the Imperial Agents Book. Take an Inquisitorial Representative formation - minimum choice 1x Inquisitor. gain free warlord trait (i.e. Greyfax's no infiltrators). (Note take your CAD, or the rest of your army as your primary detachment thus generating your warlord trait as normal, this formation allows you to gain an additional warlord trait on your inquisitor.
Imperial Knights can be taken as a separate "Household Detachment" i.e. 1-3 knights as a separate formation (per the Imperial Knights Codex).
Meaning you can have a formation of space marines e.g. a Battle Demi-Company that does not have a lord of war option, take an imperial knight household detachment for your knight, and an inquisitorial representative formation for Greyfax.
Alternatively take the Castellans of the Imperium Detachment (from the Fall of Cadia) to mix and match all of these units in one detachment with the added bonus of recycling troops units...