I have generally tried to discuss each entry in the order it appears in the codex. However for Heavy Support I'm going to reverse the order and talk about Daemon Princes first**
Daemon Prince of Chaos - There is so much to talk about with this seemingly innocuous entry. At 80 points base for a WS7, S+T5 W4 model he is a bargain. I have always been a fan of running the prince naked as, for the price, I don't care if you divert
enough firepower into him to kill him as it will have been considerably more than 80 points worth. If you don't shoot him, he will have dropped close enough to you to cause you an issue next turn. Win win for the forces of the dark gods***. Now with the assault rules in 6th and Monstrous Creatures getting a buff he is even more dangerous. D6 impact hits and the ability to make Smash attacks means he is probably going to put at least a serious dent in anything out there. Also there's always an outside chance of making that 9" charge if you had a bad scatter...
Once you start taking upgrades for the beast, points start to rocket quite quickly. While most of the upgrades are useful, its very hard to find the right balance to points efficiency. If you upgrade him to be 250 points is he, at that point, anywhere near as good as a Bloodthirster? No. But can he kill 250 points worth of stuff in a game? Maybe. Can he take 250 points worth of shooting at him and survive? Maybe. The issue that comes from those questions, is that there is not one you can answer with a yes. Therefore its not worth the points. From experience the sweet spots are either 80 points of ruining your opponents game plan, or 130ish points of credible threat.
Iron Hide is worth it at 30 points. You are effectively paying 20 points a wound for a prince, so if your 3+ armor saves 2 wounds, its paid for itself. The other option is the Mark of Tzeench which will increase your invulnerable save to a 4+. Horses for courses really, but Iron Hide is probably the most useful overall. That leaves you with only really 1 or 2 worthwhile choices in my opinion to keep you cost effective. Daemonic strength, so you can kill space marines on a 2+ in combat, Then you have a daemonic shooting attack. Daemonic gaze, an AP3 Heavy Bolter which is a subjective purchase, I've seen it used to great effect, but really Id want a Prince in there smashing stuff up. Bolt of Change can be useful as its AP1 and with deep striking you can get good side and rear shots, but its pricey and risky. Finally there's Breath of Chaos. I think that now Flamers are right up there vying for space in a list, this is a personal preference choice. If I were going to take a walking Daemon Prince it would be 110 points having only Iron Hide.
That's right. Batman's a Daemon Prince.****
Which brings me nicely onto my next talking point. Daemonic Flight. The FAQ made this turn a Daemon Prince into a Flying Monstrous Creature. As already discussed that brings massive advantages. Unfortunately it is very pricey at 60 points. But, as you can deploy in Swoop mode, its better than a buffed save. If you want to make good use of vector strike you will need to buy Unholy Might, bringing your prince in at a basic 160 points. Double what it was before. This is where you must balance princes with the rest of your list. Its the most versatile and customisable unit in the book and in my opinion, the default choice for all 3 heavy support slots.
Soul Grinders - Soul Grinders are not bad units. If the daemon prince entry didn't exist they would be seen a lot more often. But at 160 points with a good gun, you can get either a flying prince or 2 basic princes. Both options are better. A daemon army is about getting up close and wrecking face, which while a soul grinder can do this, it suffers from one very fatal flaw. One meltagun shot or one powerfist hit and its potentially all over. What happens if you shoot a daemon prince with a meltagun and roll well? He loses a wound, gets angry and stomps you next turn. If you do it to a soul grinder? The daemon player gets upset that his massive 160 point model died to a pesky marine with a fancy gun.
So, summary time eh. So much for only 2 heavy support choices being quick.... In summary 6th edition has been very, very good to the Daemons. Flying monstrous creatures became awesome, we all cause fear, we are all fearless with no more no retreat saves and we arrive far more reliably. As if that wasn't all we got some mediocre new units, and 2 units got upgraded to levels where they are arguably some of the best units in the game. Yes slow and purposeful hurt our default objective claimers and we cant go to ground anymore, but that's a small price to pay for the ability to give anything put opposite the table from us a nasty bloody nose.
* I'm looking at you here Beasts of Nurgle. Like I said, fuck these guys.
**mainly as it will save me repeating the same things in the Soul Grinder entry because I'm a lazy bugger
*** I've always felt that was an unfair description, and the neon messed up acid gods would have been more appropriate given their penchant for ludicrously bright and garish colour schemes.
****Its the only explanation. Search your feelings, you know it to be true. Plus, hes the god damn Batman, he can be whatever he wants.