KH and Sweboz bodyguards are the best in the early game. You are not fighting so many field battles but a lot of sieges in this stage of the game, and they are excellent in forcing their way in any town or, in the case of KH, holding any part of a wall.

Later in the game the AI has more armies and you are fighting more open battles than sieges. In this stage of the game the heavy cavalry "for free" is desperatly missing. The Sweboz bodyguard is still by far your best infantry around and will be very usefull against the heavy armoured Celts and Romans.

The KH bodyguard on the other hand is just a better unit of Hoplites, of which you will have a lot in your army. Different to sieges, in field battles it is lesser likely that one unit will have to fight its way through several enemy units, and so the KH bodyguard are of lesser importance.

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Tactics:

You can have a 5th Century army lining up lots of Hoplites supported by Peltastai (or any other swordfighters) as flankers.

You can have a 4th Century army using your Iphikratians instead of Hoplites (or a mixture of both).

According to the units' descripition, KH used a lot of Thureophoroi and Thorakitai in the 3rd Century. So that army will be more "Roman" with a lot of javelin throwing mobile units.