Ethereals do indeed give
TK problems. The only reliable sources of magical attacks are the Casket and the Screaming Skull Catapult.
I guess the first order of business is to try and minimize the Lord's exposure to KB's. That means you put him at the corner of the unit and you keep him there, to minimize attacks against him. I'm pretty sure you've already done that, but it's something that should be said. Another thing you can do if you're really worried about this sort of thing is to issue a challenge - while it means your Vampire Lord won't savage his unit, they're also Undead, so CR will still cause crumble in the event of a win. It also has the handy side-effect of exposing your Vampire Lord to very few attacks, and if you happen to kill the unit's resident Tomb King or Priest, Round 2 just got a LOT easier.
Sphinxes you deal with using poison, plain and simple. I recommend Crypt Horrors over Ghouls, since they can't be Thunderstomped or Thundercrushed, and while the Sphinx's Fire Breath will likely negate their Regen, it's not exactly an offensive juggernaut if you've negated the above two options. Your Ethereals can also do a good job of holding them up, provided they haven't gotten flicked off the board first.
Another thing that has to be discussed is dispelling strategy. Light of Death has to be priority 1, 2, and 3 in this phase, because it hits
VC like a pillowcase full of bricks. Chances are you can regenerate most of the Wounds lost through any Light spells or through Smiting-boosted Archery, so make sure you keep dice in storage to stop LoD and you should be OK. Don't be afraid to pop out the Dispel Scroll early, though -
TK are decent in combat, but they really do want to soften you up a bit before they get in there, so reaching combat at something resembling full strength should be your goal.
Good luck!
