by companies in HH, they are typically referring to a "Grand Company" which is typically roughly the same size as today's Chapters. The exception to that is the Space Wolves, who used the same Great Companies they use today which are not restricted by the Codex Astartes but was still one of the smallest legions at less than 5000 marines, and the Thousand Sons, who hovered around 1000 marines, as you do.

I believe the Ultras were the largest, at 250k marines.