is it worth having a captain on a bike in an army?
Unlocking bikes as troops is a very useful option.
if so how is a good way to gear him up i was thinking something like:
captain:bike, relic blades, storm shield, hellfire rounds, and artificer armour.
but thats getting very expensive but looks rather good twin linked hellfire bolters seems cool
Over-equipping any character is generally a waste of points.
If you're looking for a unit to harass the enemy into dealing with it instead of concentrating on their mission objective the unit you use to harass must be annoying, not too easy to deal with and above all cheap.
Imagine you play against an IG army, who has a unit of veterans with meltaguns. They rock up and shoot those meltaguns at your captain... is he going to live? Maybe. Thats a lot of points to put on a 'maybe.'
A regular bike unit has more wounds, more firepower and will carry meltaguns and a multi-melta. And depending how to set it up can probably cost less... with their cover save from turbo-boosting have a good chance to get though firepower and start annoying enemy units from the sides or rear.
A mob of outflanking scouts can be quite annoying, and even steal objectives.
This is the sort of thing that works better to harass enemy units, not sending off a character like a glorified hunter killer missile.