How do I save myself from Khorne?
Everybody needs to team up on Khorne, at least at the start. If he gets powerful early, he's hard to stop.

Khorne's biggest weakness, as I see it, is that he goes first. Early on, you should be able to spend some low-cost cards and force him to make his moves first. Then, put your lepers elsewhere. If he gets on the same space as you, see if you can move off it.

With this practice, my groups generally manage to keep Khorne in check. You'll still lose a few lepers, but as long as he's not double-ticking his dial, you should be able to tick yours or dominate for points. Later on, he'll be a spread-out unstoppable killing machine, but usually the game ends before that will cause you undue worry.