How in big a role do these play in your colony? I noticed The Empire has the great Cog and cultists will probably have Cthulhu. I'd like to have the chance to create a Empirical Incogsition (root out the infidel scum!) or have a "nice" group of cultists that "help" my Empire thrive by turning my inhabitants into fishmen that become my minions.
Head over to the press tread and look at the articles there. That´s really the best advice I can give you if you look for specific information on this. In short: They can play a big role, if you don´t want/can´t hinder their progress.
Something akin to this has already been mentioned the "Her Majesty's Anti-Paranormal Squad". Apparently if your colony gets too infested with occultists and paranormal things you can have these guys come as a last ditch effort to keep order and "probe" the citizens to root out all the hidden cultists and criminal activity. Apparently they're also extremely forceful and destructive in their job so expect killings and building destruction when they arrive.
One thing I hope they add in Is references to the Iron Duke. Aka Duke wellington the breaker of India The Liberator of Iberia and the Man who brought an emperor to his knees. Adding the ability to have a statue or something in the middle of town to make it look better would also be cool
