First off, as regards steggies, I tend to field an engine in every game I play and it has always been beneficial. Burning alignment in particular has saved my backside in games against WoC where in a single turn I managed to blast 2 units of knights back to their chaos deities!
Apart from that, it is great at toughness 6 since most missile weapons barely scratch it. Only things to really fear are warmachines and nasty mage hunters. However, with careful play you can easily take these out with terradons or perhaps salamanders. Also, plan carefully before charging with the engine. It is great for support and to take down small units (e.g. 3 ogres) but a fully ranked up unit is a tough nut to crack (especially dwarfs). Also, beware great weapons.
As regards the Cold Ones, I find that they are a great shock troop. Not good enough to take out a unit of the stronger types of troops, but as a supporting unit or a flank protector they are great! I am currently fielding a unit of 5 together with a scarvet equiped with the scimitar of the sun resplendent. On the turn I charge I get 18 str 5 attacks and 6 str 4 attacks. Impressive against low toughnessand low save opponents, but against better armoured ones the result is usually not so great.