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Both Antioch and Torquemada (an ironic name for this thread) are both correct in their statements--close combat is death and long range is optimal. However if you do not currently own a long range heavy hitting Iron Warriors army (like myself) there are a few other options.
Demons are useless against Grey Knights, however the relentless assault rules can be beneficial especially if you are using Ballistic Demons like Flamers or Pink horrors (a recycled demon is still another chance to wound something). In regards to their Nemesis weapons (which are very nasty) close combat is often not an option; however I have noticed a well placed Wind of Chaos combined with a hearty group of Chaos Space Marines (rubric if possible ) can also tear through groups of Grey Knights in hand to hand (perhaps it's just luck that my Thousand Sons have been stopping Grey Knights in their tracks as of late, but also it might be their beefier 2 wounds ). I have also noticed that Grey Knights do not really have any good answers to tanks of any sort, so perhaps you could find your refuge in a Defiler or two.
Hope this has been of some help.