Well the dilemma with Voltron style decks is that your commander will always be the target and that having higher costed legendary creatures as commanders does make the task a bit more difficult....but not impossible.
1. Firstly you wanna make sure that you can get your commander on the field as fast as possible. Cards such as
Bontu's Monument,
Hazoret's Monument, and
Oketra's Monument are good sources of cost reduction. They stack towards the reduction on your commander,
Zurgo helmsmasher turning him from a 5-drop to a 3-drop. This will help a lot when you have to cast him in later turns once you've secured the battle field.
2. Once your commander hits the battlefield you'll need to do the most difficult part of how your voltron deck will be running: keeping him on the field. Yes he's indestructible but that effect is only on your turn.
Lightning Greaves and
swiftfoot boots are good examples of ways to keep Zurgo on the table for long periods of times without him getting removed every other turn.
3. Lastly making sure that you take advantage of every turn is crucial for a Voltron deck. You're not playing combo or control where you can lay out your plans and put up your protections. Aggro with swift damage and combat is how you're going to win so playing cards that actually give your commander max damage output is obviously the ay to go. Having
terror of the peaks,
warstorm surge and other such cards will secure you some damage the very moment you cast your commander. Even if you wanted to include some white blink spells as a form of evasion will keep him out of other player's cross hairs with their removal spells and can re-trigger the ETB.
I speak from experience on this because i also have a Zurgo deck. I currently have a Mardu Minotaur Tribal deck and i use the white in the deck to support the Rakdos playstyle. But the same principle applies to a lot of Voltron decks: Keep your commander on the field as often as possible. Creatures such as
Uril the Miststalker,
Rayami First of the Fallen, and even
Etrata the Silencer NEEED their board presence to be effective. Do your best to either have protection for your boss or have enough other creatures with similar abilities to serve as battlefield decoys to distract or deter their resources AWAY from your general. I hope the advice helps, and if there is anything else that you need know that we of the MTG community have your back.