I am a great fan of playing with small armies in 40K as I think the large models need space and lots of terrain to make manoeuvre tactically important. The background of the Thousand Sons in particular lend themselves to narrative games featuring an intrepid exploration team: and here is my version.
An Exalted Sorcerer, or Sorcerer if appropriate, is the leader of the expedition and the only HQ.
The 'muscle' of my sorcerer's team is provided by a section of Thousand Sons Rubric Marines, which I class as 'Troops' in a Thousand Son force.
A mixed unit of Horrors make an excellent 'meat-shield' of expendables.
A small unit of Daemon Screamers of Tzeentch are great as a fast attack strike unit or emergency reserve, capable of quickly exploiting a success or plugging a hole.
And finally the Mirrorfiend, played as a Forgefiend, give the patrol a heavy assault unit.
So there it is, a finished army.
Well, almost finished as I might just add some Tzaangors or cultists.....and maybe some Scarab Terminators as an elite bodyguard, and....................