After Fulgrim, you can pretty much jump around as you like, as the narrative largely stops being linear. I personally would recommend First Heretic as it goes into real origins of the Heresy and who fell to Chaos first.
As to my armies, as soon as my Bloodthrone is completed, my Khorne daemon army will be done. I just ordered a Contemptor Dreadnought for my Thousand Sons arm and will make it Hellforged. For weapons, I think that I'll use two chainfists for melee and two butcher's cannons or soulburners for my firepower.