Don't give the Lord a Psycannon unless you also give him Terminator armor- in which case he becomes a mobile firing platform (and has the best armor he can get fairly cheap). Since they're on foot anyway, this is a good thing. With his current kit out, I would give him a Storm Bolter (he's better at shooting than close combat, anyway).
Once you get more models, and possibly a Storm Trooper squad, I would put two Incinerators in one squad and make it a Teleport Attack squad. I like to have squads on foot just take all Storm Bolters as it keeps them cheap and both heavy weapons are a bad trade-off: you lose the Nemesis Force Weapon and one attack just to get a pricey weapon upgrade that can't shoot as far as the Storm Bolters when you move.
Since these are the models you have, there aren't many composition choices available to you. I would give any one of the squads Sacred Incense to help slay Daemons before they can strike you. Also, it's not hard to convert a Familiar out of extra skulls and spare bits- make one and put it in your Inquisitor Lord unit (if you can do this, put the Incense in one of the Grey Knight squads). If you have extra points, give every squad leader a Targeter- that way your whole army can better coordinate the limited number of shooting squads that it has.
Also, might I suggest the Combat Patrol rules for small games? It gives great limitations to characters, vehicles, ordnance, etc. You could increase the point limit from 400 to 500 and lift the restriction on 3 wound models (or take an Elite Inquisitor rather than an HQ Inquisitor).
