CSM are for shooting, Cultists are for close combat.
Take 5 or 10 man squads with as many heavy weapons as possible. Word is out on the best heavy weapon for CSMs.
There's a thread about the merits of Chaincannons versus NuMarines. I don't have a link, but it's worth reading. I'm still thinking about it, but the argument was 8 shots at 24" outclasses Intercessors, even with doctrines.
I run a Black Legion gunline, nothing is better than 48" lascannons with rerolls to hit. I would take them over Havocs in most cases because of the ablative wounds.
The other option is autocannons, they can be useful but you mostly take them for the points. Lascannons are more expensive, you really need to commit to them to see much value. Autocannons, OTOH, are good for light work.