My warcaster of choice, I have only just begun to use Kraye in Warmachine Mk3 but so far he is a blast. I picked him up a couple years ago during mk2, along with a couple of jacks for him but he sat on a shelf while 40k stole the majority of my gaming time. When I finally took them down to play, Mk3 had already dropped so I have no anecdotal opinion of how he used to play, only what he brings now as a caster.
Foremost when using Kraye you are choosing to play a game centered around out maneuvering your opponent, or at least beating him to the punch on any objective. With other casters in Cygnar, you may dictate the battle by choosing when to destroy them with concentrated firepower, massive assaults, or simply a surgical strike on their warcaster. With Kraye, you will find yourself often with all of these as potential options. He can manage a gunline, filled with defenders, hunters, and chargers that all fire at max range before using their reposition to scoot back out of line of fire and charge range. He can make usually very slow jacks like the centurion move up to 12″ in a turn, giving them a ridiculous threat range that will take many opponents by surprise. He can also use his battlegroup to constantly shift and reposition, leaving poor fields of fire or charge lanes and protecting himself. It’s also difficult to know where a threat will come from with Kraye, since his jacks nearly double their movement.
Another important element are the other cavalry rules, primarily impact attacks. While they may seem insignificant, it’s foolish to discount an extra attack especially with models like Dynamo. His impact attack will trigger his special ability to get extra damage from every attack that he does in his turn, beginning with the impact.
Finally, consider what the rest of his army will do and how it will interact with his rapid advance. Be careful not to leave half of your important models too far from the front line to be of use, or outside or range to use any synergistic abilities. That or use models that work well on their own or are not range dependent. Rangers come to mind, with advance deployment, as well as other cavalry. I plan to run either tempest blazers or storm lances (or both) in any list. That way I can do my best to have the entire army moving at cavalry speed. A solo to consider is the Storm Knight Captain, who grants the same reposition ability to his marshaled jack as Kraye does, while also triggering the accumulator ability of the Sormclad.