I think that in general, we should use the adjectival form of demonyms ending in "-ian" -- eg Athenian, Locrian. The only exceptions will be important and frequent demonyms that are most familiar in another transliteration, like "Achaeans" (361,000 hits on google, vs 82,700 for "Achians").

At some point in the future, as we add work work by different translators, it might be good for us to adopt our own consistent scheme of transliteration and anglicization.