You can have up to three heroes.
The models: There are a lot of options. The Battle for Skull Pass includes a plastic Thane. You could convert or paint nearly any other Dwarf model to be an Thane. There are a number of metal Dwarf Lord models and also a Dwarf Champion model that you could use as a Thane. There is also a boxed set with a Dwarf Lord and Dwarf BSB.
Because a model comes with The Battle for Skull Pass most new Dwarf players will use a Thane as their general. This is a good choice for games of up to 1000 points. As Dwarfs already have a leadership of 9, your Thane will probably be used for helping take out enemy units rather than being used for a leadership boost. There are a lot of different ways that you can equip your Thanes, but a few are so popular that they have their own names amongst Dwarf players.
Thane of Thrift: Great Weapon, Shield, Rune of Stone. You can either use the hand weapon and shield for 3 x S4 attacks with a 1+ save or use the great weapon for 3 x S6 attacks and a 3+ save. Probably the most cost effective general you can have in games of 1000 points or less.
Thane of Pain: Shield, Rune of Stone, and a magic weapon with Master Rune of Swiftness, Rune of Cleaving and Rune of Fury. He strikes first with 4 x S5 attacks and has a 2+ save. Perhaps the favourite configuration for a Thane.
In games of 1000 points or more you will probably want to use a Thane as a BSB, to allow re-rolls of break tests. How you equip your BSB will depend on whether you want to use a runic banner or if you prefer to give him runic armour and a runic weapon.
The models: There are two different metal Runelord models that you could use. You could also convert or paint another Dwarf model to be a Runesmith.
A Runesmith will help protect you in the magic phase. Dwarfs are naturally resistant to magic, so you already start with 4 dispel dice. For games less than 1000 points you are unlikely to be facing opponents with more than 4 power dice and you should be well placed to deal with enemy magic. For games of 1000 points or more you should consider adding a Runesmith to your army. This gives you the a total of 5 dispel dice and the option of taking the Rune of Spellbreaking (which is effectively a dispel scroll).
If you are using a Runesmith in a game of less than 2000 points, consider making him the army general. Remember that if your army general dies that your opponent gets an extra 100 victory points. You probably are going to put your Thanes in harms way as their role will be to cause maximum damage to the enemy, where you are more likely to have your Runesmith in relative safety.
You can equip your Runesmith with a Great Weapon, Shield and Rune of Stone and he will still be cheap but should be capable of holding his own should he end up in combat.
The models: There are four different metal Master Engineer models, or you could convert a plastic warrior or thunderer to be your engineer.
If you have a Master Engineer you are probably going to put him with a war machine to make it more effective. Putting him with a Cannon makes it cause D6 wounds rather than D3 wounds, meaning that you will be able to destroy most enemy war machines with a single hit rather than taking two hits. Alternatively put him with a Bolt Thrower to increase its chance of hitting.
The models: A plastic Slayer comes in the Battle for Skull Pass. There is also a metal Slayer Lord model.
If you are using a unit of Slayers, then you may want to add a Dragon Slayer to the unit. Having a Dragon Slayer by himself (ie not attached to a unit) leaves him vulnerable to enemy shooting attacks so you would have to be careful to keep him out of line of sight of the enemy shooting units.
Some players like to use a Dragon Slayer as a cheap rear guard. Keep him out of line of sight by placing him behind your own units or war machines and use him to attack any units that flank your army or breaks through your lines.
Its probably not worth equipping your rear guard with a runic weapon. If you do, you are giving up your Slayer Axes capability, which allows you to choose between two hand weapons (+1 Attack) or a great weapon (+2 Strength). Normally the extra attack is the better choice against T5 or T6 creatures because you still wound on a 4+ with the two hand weapons. The great weapon would be better against things like knights where you need to reduce their armour save.
For each Dragon Slayer in your army, you can have an additional unit of Slayers in your army (normally you can only have a single unit of Slayers).