My first piece of advice is to start playing with several units of knights. I made the same transition that you did = Dwarfs -> defensive Empire. I LOVE playing with multiple knight units now. Here are the major differences:
Your optimal charge range increases dramatically with swiftstride and M7. Get used to this. 15 inches is your average charge range. Learn to love it. Also, you will need to be thinking several moves ahead in order to optimize a cav list. You want to be thinking about overruns, flanks, and such. You'll need to change your way of thinking a bit.
Knights offer two attacks per model - 1 from the Knight and one from the horse, who fights like a spearman. Remember this. Horses kill. They also benefit from buffs. A unit of 10 vanilla knights in two ranks has 15 attacks, not 10. If you've wildformed that unit, all attacks come at +1 str.
You need to get the charge. I can't state this enough. S5 or S6 really matters in terms of that initial impact. Practice practice practice.
Think about multi-charges. Setting up a charge from multiple units can dramatically increase your ability to punch through an enemy. It still isn't likely to work on a horde, but if you're fighting things that crumble, you can practically double your damage output through good CR.
3) Unit composition.
IC and Reiksguard are, in my opinion, the only units worth taking a lot of. S4 on subsequent rounds of combat makes a big difference, and is worth the extra 3 to 5 points. Build your big blocks around these. Take small units of vanilla knights. In darts of 3x2 they can do excellent harassing and will destroy any warmachine they touch - even Ironblasters. You can and should use these small units to set up bigger charges with your large units.
Heroes have their place. I'd argue that hatred is even more important with Knights than infantry, as your S5/S6 attacks really need to hit. Take warrior priests. Captains are quite good too, offering an additional 3 S6 attacks and hold the line.
I'm ambivalent about the Grandmaster.
4) Steam Tanks
You need at least one for a cav list. Nothing holds up those hordes better, and the STank offers you a cannon without the need to protect it from warmachine hunters. Must have, in my opinion.