I like 'em, make the switch from Horse Archers to Szekely as soon as you can, assuming your economy can hack it. Which, if you've used the standard Hunagrian 'Venice' gambit, it probably can.
Basically, they're much tougher and harder to break than standard HA, so they can scrap a fair bit as well as shooting people. They are impetuous though, so you have to watch them carefully, and they can't take on everything!
I can usually get most of my Szekelys up to valour 4-5 (under a good general), plus armour and morale boosts, and they really do kick butt.

I have used a 'rolling barrage' tactic, where they form line in front of the rest of my army, fire volleys, and either pull back (and then move to the wings) or advance depending on the enemy reaction. If the enemy charges, a swift countercharge on top of a couple of volleys will often rout them, unless they're elites or anti-cav. Horse archers wouldn't stand well enough, but Szekelys are tougher and can 'multi-function'...