So, when building an army, if i choose to I could say take Grim Hammers with an appropriate leader and field them with say the Lhazad Guard and their appropriate leader? They would be fielded as two separate war bands and whatnot, but it would be legal?

Sorry, just brand new at this.

I also want to make a well rounded Force with a little of most things; shooting(archers and maybe a war machine?), cav(speed and shock), and foot soldiers(Melee).

Does that make sense?

Yes you can do that.

The main things to remember is that the Hero and warriors in each warband must all be from the same list.

Bow limits apply to each allied list, so in your example above, you could take a warband with 8 Khazad Guard and 4 Dwarf Warriors with bows. You couldn't take 2 full warbands of Dwarves and then a full warband of elves with bows.

Awesome! That makes perfect sense! Thank you!