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Core Rulebook wrote:

A paladin must be of lawful good alignment and loses all class features except proficiencies if she ever willingly commits an evil act.

Additionally, a paladin's code requires that she respect legitimate authority, act with honor (not lying, not cheating, not using poison, and so forth), help those in need (provided they do not use the help for evil or chaotic ends), and punish those who harm or threaten innocents.

Associates: While she may adventure with good or neutral allies, a paladin avoids working with evil characters or with anyone who consistently offends her moral code. Under exceptional circumstances, a paladin can ally with evil associates, but only to defeat what she believes to be a greater evil. A paladin should seek an atonement spell periodically during such an unusual alliance, and should end the alliance immediately should she feel it is doing more harm than good. A paladin may accept only henchmen, followers, or cohorts who are lawful good.

Wouldn't a paladin's mount (a dread companion) offend her moral code, causing her to fall, or would allying with it be considered an "exceptional circumstance"?

Maybe, on an absolute scale, yes. I imagine that the Dark Powers would allow it to balance out. They pretty much bend or break all the rules of the normal game as they see fit anyway. they grant good clerics spells so why not Paladin's and set their requirements.

Soth's most up to date stats were in the 3.5 Dragonlance: War of the Lance Supplement by Margret Weis productions. He is pretty darn scary given what the Death Knight of Krynn template gave them. I do not remember his total levels but most of them were like rogue knight and fighter. He could easily be switched to an anti-palidin or just given fighter levels (but some tactical PrCs would be good).

The hardest part with Soth would be the template to use, as Death Knights as such do not exist in PF. I think the conversion is really straight forward but the near equivalent would be the Grave Knight. They are basically undead/living suits of armor and are fairly nasty in their own right.

As for descriptions of them the Secrets of the Dread realms book does an ok job for all of them but if you can find digital copies of Domain's of Dread or the Boxed set, they do a better job (AD&D). You can use those stats as a jumping off point or use the 3ed ones. Really, the main thing is to feel free to adjust as needed. Read their stories and put in what you think works best to fit who they are.

Most Darklords are really not insanely powerful. Most of them are scary in their own realms, and a few are rather weak, but Strahd, Soth, Azalin,a Drow elf banshee (Darklord of Forlorn I think) and a few others are the most powerful. Many of the others have their own tricks but are not insane in direct combat. Uber toxins, ability to control minds and so on and so forth make them scary.