A Saurus BSB is still a good idea in lieu of Slann BSB if the Slann doesn't have Temple Guard. If my lone Slann is engaged in closecombat, I don't want it to auto-die if broken.
If I'm expecting a lot of enemy artillery, I put a Scar Veteran BSB on foot with the Armor of Fortune, Iron Curse Icon, Shield, and Biting Blade (or Shrieking Blade but when I take the shrieking Blade I question why not just take the Cold One). The Saurus is on foot to keep Look out sir. The armor save is maximum for on foot and the Iron Curse Icon backs up the rest of the unit because all other factors being equal, the BSB's unit will draw the most artillery fire.
I still like a Cold One mounted Scar Veteran in most cases, BSB or not. The extra armor save and ability to cause Fear is nice. I pretty much always aim to get 1+ Armor Save. I use Scar Vets all the time and I sometimes go for pure offensive builds, but the BSBs I like to keep alive as long as possible. I put Scar Veterans in my Cavalry units, but I haven't put BSBs there very often. I like to keep my BSBs with the infantry and cavalry by their nature tend to run ahead of the rest of the army.
Poor Man’s Scar Veteran BSB
Halberd or great weapon, light armor, dragon’s helm, Cold One
Gets a 1+ armor save, while giving you the hitting power of a two handed weapon without great cost.
Very Poor Man’s Scar Vet BSB
Spear, light armor, Cold One, shield
Gets a 1+ armor save without any magic items.
Max Traditional Defense, expecting high S enemies
Great weapon or halberd, Armor of Destiny, Cold One
Against high strength attacks rerolling a 5+ AS isn’t as useful as a big ward save.
Max Traditional Defense, expecting low S enemies
Spear, Halberd, or great weapon, Gambler’s Armor, Dawnstone Amulet, Iron Curse Icon or Potion of Foolhardiness, Cold One
Against low strength enemies, rerollable armor saves are fantastic.
The above are things I’ve tried with okay success. The bottom two are builds I want to try later based on preventing hits instead of surviving hits.
Thinking Outside the Box Defense Version 1
Glittering Scales, Sword of the Hornet, Shield, Cold One
The idea here uses Glittering Scales to prevent the Saurus from being hit in the first place. ASF with rerollable hits can theoretically bring down foes before they can hit the Saurus but Initiative is less important in 8th edition than previous editions. It’s good for challenges though, though a Scar Veteran wouldn’t get the rerolls to hit against most characters, due to a fairly low initiative for a hero.
Thinking Outside the Box Version 2
Fencer’s Blades, light armor, dragon’s helm, luckstone, Cold One
A mounted character can’t have two hand weapons. Paired weapons are not the same as two handweapons, they just require two hands to use, so it’s just like a halberd or great weapon. You can still ride a Cold One and have them. With this build you still have a 1+ AS, rerolls on the first failed save, and most enemies need a 5+ to hit you in close combat.