When you use a deck that focuses on the abilities of Skeleton Colossus and Skeleton Demon World Knight, you should know what type of deck your opponent is running. If they are using a normal deck without using Advance Ride, it is normally the best idea to go Second. HOWEVER: If your opponent IS using an Advance Ride style deck, you can safely go first to use Skeleton Knight of the Underworlds ability. That is because, by the time they Advance Ride, you will be on Grade 2 and still be able to ride Cocytus from the graveyard if they decide to Advance Ride.
Using this card to ride Ice Prison Necromancer, Cocytus can be used to gain some advantage with Counterblast 2. Using this card to ditch a card from your hand into your graveyard to ride Cocytus and then use Cocytus's effect to summon the creature you discarded for a Counterblast 2 which gives you +1 Card advantage for 2 resource. You could also use Underworld's Helmsman to negate the Counterblasting ability, effectively giving you free +1 advantage, OR CB2 +2 Advantage.
You can discard Hades Steersman to play Cocytus from the Drop Zone and then use Helmsman later on as a sacrifice to bring back either Deadly Nightmare or Samurai Spirit from the drop zone. Using 3 counterblasts, you could effectively play Cocytus, Samurai/Nightmare, and Dragon Skull from your graveyard in one turn, effectively giving you a 20k Rear Guard and a 15k+ Vanguard. Required that a combo like this would have to set up before Grade 3, it is an easy way to get early game advantage.
It is better if you use this unit without Skeleton Colossus as it will give you a more space for Grade 1 units without worrying about the ride (as you will most probably be able to ride to Grade 2 without any problem).