Is it just me, or does the first rogue multiclass...kind of suck? I mean, yeah, strictly speaking its better then skill training if you just want the thievery skill, and yeah you need it to get the power swap feats. But, sneak attack just plain doesn't seem to be worth anything as an encounter power. This is the main reason why my first character is probably going to be a Rogue/Ranger multiclass instead of the reverse, since Hunter's Quarry at least lasts a full encounter.
I second whoever said Thunderwave. As a warlock you like to keep the enemies as far away as possible, so this one can help with that in a tight spot. Just make sure you aren't overlapping with any primary wizards in the party of course.
Also...if your group plans on soaking up any supplements that come along, it may be to your benefit to instead multiclass into something with a different power source. Why? Because that then allows you to make use of items from that power source. From what I can tell from the wands section, there is no limit to how many of those you can carry, and they don't seem too expensive either. Thus, by diversifying your power sources, you can supplement your power list. True, all the wands in the PHB are arcane, but it is highly likely some divine ones will come in additional splats, which is why I say only consider this if you're probably going to end up having splats available down the line.
Actually, one trick that occured to me would be to multiclass into wizard, then craft a wand for as many encounter powers as you can afford. As soon as you gain a level, retrain out of the wizard multiclass into something else. You'll be able to keep low level wizard powers to use every so often in addition to the benefits of another multiclass. Yeah, it isn't a huge amount, given that all the wands grant them as daily powers, but it would go a long way towards upping your options and general versatility. This would work even if you weren't a warlock so long as you chose an arcane power for your racial feature. Half-elves are extremely good for this type of thing because they are the ONLY race that can potentially gain access to all 3 power types.
So yeah, that's my 2cp, ignore me now :-\