1
Fear the Reaper
This talent allows you to be much more aggressive because you can escape pretty easily. This ability can also be used to catch up to enemies and apply Reaper's Mark. Make wise decisions, rather use it in vain than dying.

4
Black Harvest
This talent is essential for this build as the extra seconds of Reaper's Mark will help out in combos and works well with the level 16 talent. Try to complete this quest before reaching level 16.

7
Cold Hand
This is also an important talent because you will need the slow to make sure enemies can't escape and then you secure the kills with your heroic:

10
Last Rites
This build focuses around this Heroic and your self sustain. Use Last Rites when you know an enemy is going to die. Remember that it has a short cast range and that's why Cold Hand works well with it. Try to get as many kills as you can to lower the cooldown.

13
Soul Siphon or Inevitable End
This talent choice depends on your enemies. If they have an Anub'arak or Butcher then Inevitable End will work better since you can use it to avoid their stuns and get away with Fear the Reaper. But you should often times choose Soul Siphon to increase your healing recieved which will increase your survivability.

16
Memento Mori
This is another important talent since the extra duration from Black Harvest will guarante more damage since they last 6 seconds. This talent will make Reaper's Mark deal 80% more damage after 4 seconds and therefore it is very powerful against Bosses and Warriors.

20
Angel of Death or No One Can Stop Death
Though Angel of Death may not seem like the best talent choice but in combination with the other talents, this talent is great. If you managed to get 6 kills your cooldown will be reduced to 15 seconds since this talent doubles your cooldown boost. The healing recieved is amazing in team fights as you can deal massive damage to tanks and regain almost all of your health in 2 seconds with Last Rites! You dont have to focus on killing once the talent has a 15 second cooldown but remember to use it on low health enemies when you need health or kill them if you know your team won't kill them. You can also choose No One Can Stop Death if you face less Warriors and die a lot, this will help you to instantly respawn and get back in the fight to help your team. Just make sure to remember that your respawn time is 25% longer next time!

Use Death Shroud to apply Reaper's Mark to enemies, minions and mercenaries. Then you can use Soul Rip to heal yourself if you need, (you can hold down Q to automatically use it). When facing enemies use your basic attacks to apply Reaper's Mark to damage and Soul Rip to heal. If you need, you can use Wraith Strike to escape towards a nearby enemy minion affected by Reaper's Mark by using Death Shroud. You can also use Fear the Reaper to escape or close in on enemy heroes.

Try to help out your team by killing minions, taking mercenary camps and engaging in team fights. You can launch Death Shroud and the use Wraith Strike to quickly go in for a kill on a hero if you can. Don't do this if the enemy can stun or root you. In this case you could choose Inevitable End as talent to be more aggressive without dying too quick, or at all.

Once you get your Heroic you should engage more against enemies. Try to weaken them enough to 1/3 of their health to kill them with Last Rites. Use your abilities and the build's talents to survive, weaken and slow the enemy so you can kill them.

If you completed your quests, Last Rites and Black Harvest, then you will be able to efficiently apply Reaper's Mark and kill enemies regulary if you have enough health. You should be careful too because you are not invulnerable. Try to avoid conflict with multiple heroes.

If you find yourself dying or not being able to kill enemies with Last Rites, then bring an ally! A healer or someone who can stun works best. Together you can destroy Cho' Gall for example.

To make it easier to understand, see this:

Quest: Kill minions at the start of the match.
Quest: Capture/Finish objectives.
Quest: Kill enemy heroes.
Quest: Capture Mercenaries/Boss with your team.
Quest: Complete your quests.

Reward: Increase the chance of winning.

Of course you'll want to do more than these. This is just an example on how to play during a match. (In no specific order.)

Malthael is great at taking Bosses and Mercenaries. You can solo a mercenary camp by hitting all the mercs with your basic attacks and holding Q to regain health while they take damage. Keep switching targets to apply Reaper's Mark to all mercs.

When facing Bosses, you need one or two teammates to help you because you can't solo a boss, you will just get killed or very injured. But when facing captured Bosses or Veichles, you should fight them. For example, the garden terror, dragon knight, golem or immortal. Be careful when facing a punisher because they can stun you for a very long duration which may lead to enemies killing you. Be sure to have Fear the Reaper ready.

Try to focus on the map objectives too when playing as Malthael. Support your team while they are capturing Altars or Tributes and help out to take objectives like Tempels. If an enemy is weak, try to target them and kill them with Last Rites, just make sure they cant be saved by an ability or healing! (One thing to note is that armor does NOT affect Last Rites' damage.)