If it's the unit I'm thinking of, then the "Teleporting thing of nastiness" is pretty nasty, but no more so than a Phoenix Lord (and I'd say Baharroth is nastier). It's the HQ unit, some kind of Lord with 3 wounds. Just treat it like any other HQ and put a put a couple of big guns on it, it'll drop.
I would be a lot more worried about the Immortals that it'll bring with it. Mobile Starcannons will help with this. You're going to need to be able to get your big guns accross the table quickly, so look to Falcons and Vypers. A 12" move with a 36" to 48" range (starcannon and brightlance respectivly) means you should be able to put a big gun on anywhere on the table, the limiting factor being line of sight.