I've started this deck as well. I typically don't play black so I don't own a ton of the staple cards you would run. I'll look at what I've got and let you know if I see anything you might want to add. Off the top of my head - Dictate of Erebos or Grave Betrayal?
I'm in an EDH group with a guy that owns all 4 sets of Vanguard. We don't use them much but when we do it's been fun. We've also added in Planechase which was interesting. We usually each draw three Vanguard cards then pick one of them to use.
One thing I've noticed using them in EDH is that the +/- life doesn't really matter much with life being at 40. It's usually worth taking a big hit on your life for a great ability.