While probably not the best pit slave player, pit slaves are my main gang.
Firstly, pit slave gangs are close combat first and foremost, but your long range fighters are your technos, and potentially your chief - your chief can be the most versatile member of your gang.
I fit my Technos out with lasguns to ensure at the start of the gang they can shoot relatively reliably and consistently at longer ranges. I always take the maximum of two technos at the outset; you can fit them out with more powerful weapons, but it eats into the credits you can use to buy more pit slaves. I also get them a laspistol as a fallback in the event that the lasguns fail their ammo check, or if they manage to be stuck in close combat. Once you start earning more money you can look at kitting your technos out with special weapons with more punch.
Fitting the chief with a basic weapon and two pit slave weapons is usually a good balance; the chief, as I said, can be the most versatile member of the gang, so I tend to have him move up behind a group of slaves so they can benefit from his leadership but not have him be the most immediate target.
I then fill out my gang with pit slaves; the cost of pit slaves and their requirement to have a pit slave weapon makes your standard slave quite costly (taking a stub gun and one of the cheaper pit slave weapons is the cheapest they can be, which I recall being 80-85 credits), so depending on your budget and how you want to kit your guys out you're running anything from a total of six models (chief, two technos and three slaves with various tool upgrades and/or armour plates) to ten.
I usually run as many bodies as I can, but you can sacrifice getting a slave or two to get tool upgrades and armour plating to make them hit harder and last longer; the larger gang size will help with bottle rolls and income, though.
Pit fighters lose any ranged ability you could have (by buying a pistol) for more cost, so I tend not to run them, but they allow you to get multiple close combat benefits; you might pick one or two up and run them just behind your slaves to allow them uninterrupted charges.
Pit slaves with chainsaws and hammers are usually the most worthwhile, to start with; they provide the best benefits in close combat early in a campaign. Shears can scare your opponent but requires two rolls of 6 to hit in order to kill a model (so it can be unlikely), and buzzsaws are quite high strength to start with, but tool upgrades can make the other weapons stronger over time. Claws provide a benefit against an opponent with a high Attacks, but that is a very niche use and more for later in a campaign, as are drills. As a campaign progresses you may want to trade out the hammers and chainsaws for these other weapons, but chainsaws and hammers can be fairly decent to keep in the gang.
In games, use cover. A lot. This is usually true of most gangs, but for pit slaves this is even more important. Try not to get caught in lines of fire while getting close (as soon as possible), try to avoid enemy overwatch where possible and use your Technos to put down overwatch to cover the slaves' approach, again if possible. you're pretty much always running unless you're waiting around corners on overwatch to hopefully stop oncoming enemies before charging them in your turn.
I usually play my gang in close pairs or trios of fighters, to help improve pinning checks at the start of your turn while keeping them spread out a bit, but it does leave those groups open to blast/template weapons and break tests; running your gang as a single group exacerbates this but simplifies charging as a massive group, and individuals can usually get picked off.
One aspect of outlanders is income, in that they tend to not get much. Pit Slaves do get an extra credit per forager, but this relies on you having a larger gang. Try to run a Caravan scenario if you can, which can be a good way of getting more income; as you have hatred for defenders in a caravan scenario it might give you an edge to fight through.
In terms of advances, for your slaves you're mostly hoping for Toughness and Wounds advances to keep your guys in the fight to get into combat, with WS to help when you get there - Strength advances are good if you're going up against a lot of flame weapons, for getting fires put out, but most of your close combat strength comes from your pit slave weapons, which are a static profile.
If getting to pick skills, ferocity skills will usually help get your gang into close combat on your terms, and combat skills will help you when you're in close combat; you may want to dabble in agility and/or stealth if you get to pick any skill table, but generally ferocity and combat will do you well. For technos, shooting and tech would be advised since they should be hanging back.
Just as a further point, the autoslugger is great for technos, and your boss... rapid fire allows them multi pins (which is really what you need) to allow the rest of your gang to close. A lasgun backup is a nice to have further down the line though.
I'd suggest a single fighter to start with, get them agility and stealth advances to make their charge scary ranged and able to use hide after running. This forces the enemy to react rather than being able to cordon you into areas and get overlapping fields of fire against you. Ferocity on everyone else as @Ardavion says is king to keep them in the fight.