So at first the set was kinda weird, and I went Rock Blast over Pin Missile cause I didn't wanna get walled by Lando-T and Clefable. Rock Blast also lets Heracross hit flying types like Talonflame and Torn-T, and it can hit Amoonguss/Mega Venusaur better than Bullet Seed can. Rotom-Wash was sort of a no brainer because it can get Heracross in easily, it can switch into flying types and kill Lando-T with Hydro Pump. From there, I decided to add Heatran to handle Fairy types, provide Stealth Rock and help out with defeating opposing Grass types. The team doesn't have many options to kill an opposing Heatran, so you can run Earth Power, though Taunt can also help out since it'll let Heatran handle slower mons like Clefable with more ease. Lava Plume and Will-O-Wisp from Rotom-Wash were both helpful choices at this point because Heracross is able to set up behind a sub against more opponents when they're burned, so it really works out for this set. From there I wanted a Keldeo switch in and added Latios since it also helps with Volcanion and can revenge kill Mega Medicham. I went with the Calm Mind set since I wanted to let Latios be able to severely weaken Clefable for Heracross and it's also a nice win-con late game. Defensive Tangrowth helps out with Mega-Lopunny, bulky waters like Slowbro and it's the main switch into Tyranitar. A Defensive Lando-T could've worked too, but it would've gotten worn down extremely quickly, whereas Tangrowth will take the hits better and can heal with Regenerator. Finally, I needed something to help out with Clefable, Mega Alakazam and also Weavile, so I added Scarf Jirachi. Jirachi can revenge kill faster stuff, kill fairies and provide momentum to get Heracross in safely.
As for threats to the team, watch out for Weavile, Mega Alakazam, Mega Diancie, and opposing Magma Taunt Heatran. The Mega-Heracross, Rotom-Wash and Heatran can all take a hit from Weavile if necessary and then Jirachi can also revenge kill it. Mega Alakazam's probably the biggest threat since you'll need Jirachi to revenge kill it, or you'll need Rotom-Wash or Heatran to tank a hit and then damage it back. Diancie's also annoying as you can switch into Jirachi or go into Tangrowth or Rotom-Wash to take a hit. If it's HP Fire, then Latios will outspeed it. As for Heatran, Heracross can outspeed it before it Mega Evolves, and then you'll need Rotom-Wash to handle it or otherwise set up a Calm Mind or 2 with Latios to wear it down more quickly.
I added a regular Mega Heracross with 3 Attacks since Sub + SD doesn't always work (usually only works if they have an Amoonguss) in case anyone else wants to use it, so you're free to use either set.