David has covered it quite well. Depending on how the rest of the army is set up will likely guide your choice between steggie & sallies. Here are a few things to consider:
1) Sallies - best shooters for blocks of infantry in the game and the skirmish ability makes them incredibly mobile. Dropping 3 templates on any horde, even WoC or ogres, will yield good results while the same templates on a horde of T3 infantry will absolutely decimate the unit. Other advantages include auto panic checks if even one model is removed, flaming templates do d6 autohits and re-roll to wound against units bunkered in a building and a 3 pack of sallies can dish out 9-12 S3 attacks + 6x S5 attacks in combat, making them excellent for taking out war machines, fast cav or other soft targets. Main drawbacks are difficulty in wounding high T targets and single models and getting stomped (they are war beasts).
2) Steggie - think of steggie as an upgraded chariot that can really beef up the effectiveness of your infantry blocks in combat. The shooting is almost an afterthought although every little bit does help. With terror causing and S6/T6, it can really help grind down a block of even elite regular infantry (not monstrous since its thunderstomp will not work). Best of all, it is naturally stubborn and thus can be used to hold up a lot of things if kept within range of the slaan. Main weaknesses are it is a cannonball magnet, more expensive than sallies and generally outclassed by most other big monsters in the newer books.