Don't bother buying a box of mordheim figs. They're metal, pricey, and not necessarily the prettiest. I'd recommend going with a really good theme, or an entire proxy army . A single regiment of fantasy figs, and full access to your bitz box means for around the same price of an official warband, you can have something REALLY unique, and be quite proud of. plus you only need to make a dozen models, so you can really let loose.
I myself have a couple of warbands floating around in my basement; but my favourite is my witch hunters. all the zealots are scratch built, and the witch hunters themselves are angels. all it cost me was a box of empire flagellants, a Witch Hunter blister pack (too cool not to be my captain), and a bunch of bitz (sanguinary guard wings, mostly). If you really brainstorm, you might get something pretty sweet, again, depending on bitz (steampunk mercenaries if you play necrons, or possibly tyranid/human hybrids?). This is assuming you already play 40k (or, even better, fantasy).
On the army front; mercenaries are great to start with, very balanced. I'd reccomend witch hunters (because I love them). two of my campaign mates play orks/skaven, I've yet to beat the skaven, and the orks only recently have became a total pain in my side (they're *halarious* to play against though - animosity).
As for your list, i don't actually play mercs, so I can't be to specific, but here're my personal guidlines for building a warband:
-Swords are win, parry is winning. don't bother with two though, unless you find some with exploration.
-Anyone BS3 or better gets a bow (xbow if able). Shooting is totally unfair, if you get enough. Hero's with bows are likely to snag kills early on, meaning quick experience.
-Armor is usually a waste, untill later in the campaign. It's too pricey, and you usually won't get much of a save anyway (helmets however, are great).
-ALWAYS TAKE THE MAX NUMBER OF HEROES. just do it. if you don't, you won't get Exploration rolls, money, wargear, and wins.
-Keep the model count up for sake of route (max it if you can)
You're list is pretty balanced (it would seem), but I'd consider a few weapon swaps. Make sure the heroes get sword and axe/club, and/or a bow. Leave the double handed weapons and such for the henchmen (unless you plan to knock down with a hench, and finish off with the champ, but it's risky). Remember to double team your enemy every chance you get; else you get merc'd (pun!). On the halberd, and hammer/buckler models, consider getting two one handed weapons for as many figs as possible (even if it's just double daggers, remember everyone gets one for free), the extra attack is worth it every time. If you charge, you strike first, and that's EVERYTHING in mordheim.
I've only played a dozen or so games, only about 8 were in campaign, but that's what worked for (and against) me. Don't forget to have fun, and to name every model you have (so you can praise/curse them).
If you haven't, google Mordheim 2.0 ("gentleman's mordheim"). It's a collection of the core rules, expansions, expansion armies, and some fan made stuff too. it's worth considering (but play armies from the core book, if you're still new).
Remember the golden rule: mordheim is about story and fun, so if you and your opponent argue about a rule for more than a minute, d6 it, write it down, and thoroughly research AFTER the game. it's not a tournament.
also, play on the 4x4 table with tons of terrain; if you don't it turns into a shooting war, and that's only fun for one person.
