Maedhros - I'm a diehard Lizardmen-in-Mordheim player, and I'm fortunate enough to play with a chill group that not only allows it, but thoroughly enjoys it. The basic justification for their presence is that they've been sent on a special artifact recovery mission which only a small, inconspicuous force could hope to accomplish (like the fellowship of the ring).
Tactics
Anyways, everything Von Kurst said I wholeheartedly agree with. He had a lot of good advice.
Like he mentioned, keep your skink heroes out of combat at all costs! The only time they should be in combat is to steal experience by charging something knocked down or stunned, or as a last resort against mediocre henchmen. Win or lose, your battle spoils largely depend on your number of surviving heroes. Skinks with their high movement and shooting skills allowance make great survivors. You shouldn't give them spears, cause they shouldn't be getting charged (ok, give them spears if you're filthy rich).
Skink heroes are about the most enjoyable of any hero type that I've advanced. I've promoted a str upgraded one into an eagle-eyed knife fighter, another into a long-rifle sniping weapons expert, and more into sprinting infiltrators. Have fun with the possibilities.
Shaman has 2 uber-skills (frenzy and lightning bolt), and several very situational (often bleh) spells. Try to give the shaman a short bow somewhere he can safely shoot if you don't have the lightning spell. You want to get him exp.
Mark of the Old One is arguably the best hero ability in all of Mordheim. It's also extremely expensive for a starting warband (when it almost always must be purchased, cause you want to start with max # of heroes). In a longer campaign, definitely get MotOO, but in shorter ones, it probably wont pay off in time.
With the default rules, large creatures generally are a liability after the first few games. The kroxigor is not an exception (the troll is the only exception). Starting with a kroxigor is a huge cost for your warband. He will tear through nearly anything for a couple games, but then heroes will start making mincemeat out of him, and you'll lose your 200gc investment 33% of games. I like to field one sometimes cause I like the model, but generally, it's a poor investment.
The blowpipe is by far the worst item in Mordheim. The often overlooked bolas, however, are fantastic. Try playing around with them.
Saurus are incredibly fierce for their cost. You should field the maximum number if possible. The general strategy is to advance saurus under cover or with a skink screen, then charge the enemy and tear them apart. It works very well.
I give roughly half of my skinks javelins and half short bows. The ones with bows are good at getting to high ground and with some luck and superior numbers can actually do some damage. The ones with javelins can provide support for the saurus and, with good use of the terrain, pincushion the enemy from out of charge range. It's not very cost effective to give them melee weapons beyond the dagger, but they get any extras that I find. Sometimes dual-wielding skinks can be useful in taking out stunned models.
Balance:
As was mentioned in previous posts, some people find the Lizardmen overpowered. There are probably 6 things that fuel this argument: save that cannot be reduced below 6+, 20 member warband limit, cold blooded rout tests, saurus too cheap, frenzy spell, and M6 starting. The save hasn't been a huge issue in my group's games. The skinks still go down super-fast with T2. The warband limit of 20 is very powerful in long campaigns. We reduce it to 18 (for skaven too). It's very hard to Lizardmen to fail a rout test. I will almost always voluntarily rout if taking heavy casualties, but in a one-off, or a servious objective match, this can be a bit too powerful. Saurus are extremely efficient for their cost, but you only get 5 models above T2, so they kind of need to be cheap. It seems to balance out in our games. Frenzy spell on a multi-attack saurus hero or a kroxigor is WAY too powerful as the original rules stand. Just update frenzy to the new WHFB rules giving +1 attack, and it should be ok. The 6 movement of skinks we find is balanced in pitched battles, but is very powerful in some objective quests (especially before enemy heroes have a chance to get movement skills).
In my experience, the Lizzies as written are roughly the power level of the skaven, who are generally regarded as the strongest of the original warbands. Just like everyone else, however, Lizardmen will get slaughtered by a Shadow Warriors warband.
Yikes, that was longer than I intended. Just came back to the forums from a long hiatus and found a thread on my favorite topic.
Anyways, I hope your gaming group is enthusiastic for your to try the scaly ones out in the streets of Mordheim. Do be open to discussion of your warband's rules and willing to compromise as it isn't an official band. If you want to post pics of your Lizards over in the gallery, I'd love to have a look.