yeah, pure deathrattle is kind of a no-go at anything more than the smallest points values due to no casters and no big heroes capable of surviving a round of enemy shooting. Hopefully some day we'll see skeletal mages and some sort of bone dragon or the return of sphinxes or some other equivalent monster characters added into deathrattle...
Apart from that, it really doesn't matter which sphinx you add first, they're all good in different ways. Warshinx is cheap and benefits from deathrattle and skeleton keyword effects. Royal is a powerful, survivable buffing general for deathrattle heavy lists, synergizing particularly well with elite units like tomb/grave guard & necroknights, and making great use of ruler of the night and the tomb blade, but is painfully expensive after the tk points nerf, making it far from an automatic choice over the others. The necrosphinx is lightning fast and very hard hitting, with an unreliable-but-greatly-intimidating chance of dealing tons of damage to enemy monsters, but is again super expensive.
Of all of them, the necrosphinx is probably the least good these days, being largely overshadowed by the cheaper and more versatile mourngul as a big beater, but again they're all quite effective, so this is one case where choosing purely on aesthetics will not serve you poorly.