You got lucky with Latios there, Modest is an amazing nature for it. I recommend replacing Dragonbreath with Dragon Claw and Luster Purge with Psychic, simply for the POWER. Offensive playing works well in the Frontier, not letting your foes set up, nothing wrong with it, some pokémon are simply built to be on the offensive. Latios is one of the best special sweepers in the game, and in my opinion the very best special sweeper allowed in the Frontier. Great speed, amazing Sp.Atk, a solid movepool, an EQ immunity, and no 4x weaknesses make it very very good. It is Uber tier for the competitive battling scene for a very good reason, such speed, such Sp.Atk, and such good coverage, it is very tough not to take huge damage from it.
The rest of your team is a bit worse. To get gold medals, you want top tier pokémon, the ones that really stand out for being good. Blaziken and Rhydon simply don't. Heracross, Salamence, and Metagross are better physical attackers.
Swords Dance Heracross is one of the hardest hitting physical attackers in the Frontier. No other top dog hard-hitter there gets Swords Dance. Metagross doesn't, Tyranitar doesn't, Salamence doesn't, Dragonite doesn't, but Heracross does. It gets plenty of neutral coverage and if Guts activates it starts hitting really hard.
Metagross @ Leftovers
-Agility / Explosion / Shadow Ball
final move depends on the facility. Shadow Ball is better in the Palace, Arena, and Pyramid, Explosion or Agility is a matter of preference in the Dome, the Tower, and Agility is preferable in the Pike. Metagross stands out with a very high Atk stat that can be further boosted if Meteor Mash gets lucky, a decent speed (especially with Agility support), solid defence, only 1 special weakness, enough bulk to take Earthquakes, and Attract, Intimidate, and Toxic immunity. At +1 Attack and +2 Speed Metagross will be destroying pretty much everything.
Salamence @ Lum Berry
Salamence stands out with a good defensive typing. Resistances to bug, fire, water, grass, and immunity to ground and Intimidate to boot makes it scary. Add in very good speed, insane attack, and a boosting move that can boost both and Salamence turns into one of the most fearsome physical sweepers. After a single Dragon Dance it will be hitting crazy hard and outrunning everything, after two Dragon Dances almost everything gets OHKO'd. Even the most defensive pokémon go into the Yellow-Red zone after a single blow. The downside of Salamence is its 4x Ice weakness and its lack of a powerful physical STAB move.
If you ever want to try defensive playing, one of the best ones of the generation is the mighty Curselax, which is pretty much invincible if used right, as the AI never uses whirlwind or Roar. It is not immediately an offensive pokémon, and Snorlax is very very slow so it won't sweep, but it has an invincibility factor that lets it take hits, hit back and KO, take more hits, punch back, KO some more.
Snorlax @ Leftovers
Ability: Thick Fat
120 HP, 252 Sp.Def, 136 Atk
-Earthquake / Shadow Ball
Wtih a HP stat of over 500 and a Sp.Def stat well over 300 and Thick Fat Snorlax will be facing any special attacker with comfort. Curse is what makes Snorlax so good, it increases Atk and physical Def, so also hard hitting physical attackers won't get past you after a curse or 2-3. If your HP gets low, use Rest, survive two turns of sleep, and continue. Return is STAB and hits very hard after a couple of curses, and the final move is additional coverage. Earthquake hits Metagross, Tyranitar, Rhydon, and Steelix. while Shadow Ball hits Gengar.
Master balls are the cheapest thing ever invented. It's more fun catching everything with balls that can fail. 'caught Latios in the wild without master ball ftw'