Do you tend to ally them in?

Sometimes, but the only ones I have actual models of are 2 Mumakil and a Balrog. (unless i can proxy the Cave Drake as a dragon, of troll chief as stone giant), 2/3 of the time i don't though.

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"I am the Flying Spagetti Monster. Thou shall have no other monsters before me"
-FSM.

What is the best way to play EHTK monsters?

Well i normally just send them straight in, but they tend to get killed, this ok for a mumak or stone giant at 2,000pts as they don;t take up much pts and can be a good distraction. Otherwise its probably best to wait behind your lines, then send them in, if its a balrog, drasgon or giant, for the mumak it tends to be a good idea to send them ahead anyway so as to squish as many people as possible, if you can trap a formation so it gets squished, for Giants and Balrogs, need flank charges, and for Dragons rear charges. (fo both dragons and balrogs cast dark fury, (and shatter shields if necessary) and use their might for heroic fights, giants can to if you have an overlord)

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"I am the Flying Spagetti Monster. Thou shall have no other monsters before me"
-FSM.

It depends on a couple of factors. the 2 stone giants are two EHTK monsters so chances are you will only lose one per game. But both dragon and balrog have might. This may not seem like much but it means that they can ATD. they both also have (access to) spells of ruin. being high fight 8/10 they can also duel heroes. That being said if your army is slow and the giants can keep up, they are still very dangerous in combat.

Wouldn't Durburz make the stone giants way more effective? Using his overlord rule a 4 Might?

The giants could then call heroic actions but they would still not have might for rolling a '1' on say charging and will still not be able to ATD.