The best item to make your master last longer is with any doubt the Dawnstone.
Even against s6 attacks he got a nice 4+ armor save (50% chanche to avoid the wound) if you put the dawnstone on him that chance become 75%.
Think that if you equip him with Armor of Fortune/Talisman of Preservation the save chance is still 75% against s6 but become worse against s5/4 and come to a really higher price, indeed is better against things that ignore armor so stay away from KB.
I don't think you will face many things that ignore the Armor Save at 500 points, the only thing to fear is Searing Doom. If you think that you are gonna face someone that bring metal: Dragonhelm or Dragonbane Gem are the solutions (they become really scary items if someone bring a flaming banner that mean your general should be able to solo them)
Another interesting items is the Charmed Shield that for only 3 point more than a normal shield give your general another wound (2+ to avoid a wound, single use)
I agree with Dareon that Dark Steed is mileage superior to a Cold One for many reason, cold one is indeed a cooler model i'll tell you what you lose and what you gain but if you'll chose the dinosaur no one will blame you (execept yourself
)
Cold One gives you:
+ 1 attack
+ 1 Armor
Stregth 4
Stupidity
What that means?
The armor is cool but you gain 1+ with just the mundane shield on the Dark Steed that close the gap in point cost 12 vs 12.
The attack comes at ws 3 that mean you are gonna hit on 4+ as the horse so 50% of the attacks will hit.
Strenght 4 will mean that you will wound most targets on 4+/3+ so another 50%/66%
Most of the infantry come with a 5+/4+ armor assume that they are 4+ shield and HA, they will save 33% of the wounds.
We won't take into account parry and ward saves.
In the end your mount have 16% chanche for attack to kill a guy (T4 AS 4) so with 2 attacks he need 3 turns of combat to kill one model. If you are against WoC, Ogres, Dwarves the chanches are lower while against skavens, skeletons that chanche will be much higher.
The dark steed got the same ws but only one attack and only str 3 that mean he have 8% chanche for attack to kill a guy.
In the end the cold one is 4 time better than the horse at kill most things but that will be something like 2 deaths any match.
Stupidity: Your master have ld 9 so the chance to fail are low but when you fail you will skip the move phase and that 6 inches movement could bring you in a bad spot. The chanche to fail is 8,3% if i'm right (dareon correct me if i'm wrong should be 3/36 right?)
That mean you can fail one time every 3 match supposing you get only 2 move phase. But because shiz happens that could mean that you fail 2 times in a row every 3 matches.
Dark Steed:
Movement 9
Fast Cavalry
Vanguard
Swiftstride
Calculation are hard to make but what you get is:
A) A better charge range
B) An initial potential move of 30"
C) The ability to move 4" more than the cold one
D) The ability to flee safer
E) You can join your Dark Riders and they don't lose fast cavalry (that is the thing that make them so awesome)
I think that because that game sometimes is a gamble, and if you need the help of your general to get a critical rear charge and he:
A) Fail is stupidity test
B) Roll a poor charge
You will yell: "Damned Dinosaur!!!"
Getting back to the list:
The only big thing that you can do to change it is dropping a unit to bring something else.
If you are restricted to bring 3 units to the table the alternatives are:
1) Shades: They are the best shooting unit DE can have, are supermobile and are good flankers with either AHW or GW. Don't bother with the light armor upgrade and save points. They are squishy but hard to shoot unless a cavalry unit focus on catch them. 90 points are many for just 5 footed guys but having skirmish and scouts let them shoot from the start and stay out of LoS of the enemies. Into close combat they are better than corsairs but lesser protected. The models are easy to make with conversions, corsairs with different cloack or warriors with different heads or as you like them the most.
2) Darkshards: Darkshards are meh! But are durable fighters with the ability to shoot. They have to be played defensively getting charged by units into a stubborn formation.
Their cost is what make them meh choiche. Since you want at least a unit of 15 with musician and shield that come at 190 points.
3) Witch Elves: If you want to be cheesy replace corsairs with them. They are naked bitches and even 12 of them are gonna rip most enemies apart.
4) Sisters of Slaughter: They simply rock hard. Check Drakon posts about them. 150/160 points.
5) Cold One Knights: Give them the standard of Discipline or the Gleaming Pennant for 175/165 points. Replace Exexutioners. The advantage over Execs is their staying power, they are really hard to bring down because 2+ armor is amazing. I'm not a big fun of them but at 500 point they could work well. Throw your Master on Cold One into them and you got 8 rerollable str 6 on the charge and 17 str 4 from the mounts. Execs are 14 bodies for 178 points and bring 14 str 6 (17 if we take master into account). Probably on the resolution CoK will be higher because of the mitigation.
6) Dark Elf Warriors: Probably the worst unit of DE but since we are talking about a 500 point game they can work well. Bleakswords in my opinion are better than Dreadspears because they keep the ward save (if dreadspears can act as bleakswords on the charge than dreadspears are better but i don't know the exact rules of that). You need a unit of 16 to make the best out of them. The cost for them is 144 pts. Formation 5x3.
7) Sorceress: U can decide to swap the master for a mage. A basic level 2 sorceress is 115 or 125 mounted.
Death Hag: Death Hag with witchbrew is only 115 points, come with no protection but your unit will be super aggressive.
So my alternative suggestions are:
The Anvil and The Hammer list:
16 Bleakswords 144
5 CoK 165
5 Shades 90
1 Cold One Master 101
Shades to take care of low armored units and for the rear charge.
Bleaksword/Dreadspears the anvil. CoK to hammer down from the flank.
The Ninja Team and the biatch
9 Dark Riders stb 190
5 Shades Great Weapon 90
5 Shades Great Weapon 90
1 Sorceress Mounted 125
I think that list have a great potential.
First of all it's super mobile against many enemies you could harass for days.
Second your shooting phase is a nice 38 shots on the march each turn.
Third if you go for Dark Lore: PoD make your Riders str 5 on the charge and 9 str 5 attacks are not so bad combined with the shades attacks that are str 5 too but your general is naked and in the front of bad boys that want her head, probably is better to keep doombolting them, if you can.
Dark best spells are doombolt, power of darkness and word of pain. Soulstealer is average.
Alterntively take AHW on the shades and the metal lore. Use metal to melt armor things. Or shadow lore hoping to get one hex at least.
Your mage can explode leaving you with only shades to win the battle so it's a risk but could be fun.
The Bitches Party:
1 Death Hag 115
10 Sisters of Slaughter 150
10 Witch Elves 110
10 Witch Elves 110
Put the hag into the sisters, run everithing 7x3.
Probably will be only a bloodbath but will be fun. Your front ranks combined put out 61 strikes. Only the front
If you like rolling many dices.
Alternatively change Sisters with Executioners it's more competitive but less themed, skull guys in a party of women??
I've no more ideas for today
but 500 is a fun format with fast matches that don't last for days. Anyway i really love magic and will never leave home without it's the only thing that is unpredictable (for elves at least).
Hope that all that will help you with your final army.
) and the Master would likely be a kitbash. I have been undecided in particular on whether to take Executioners, Cold One Chariots or Dark Riders (which could also fill the Darkshards place possibly). 
(the Dawnstone could be a powerful combo with his 1+ AS)
haha). I guess I could just proxy him for time being, they're on the same size base (meaning until I can find a spare Dark Steed or similar model to kitbash).