an engine of the gods with the burning thing would really do the trick, as long as he doesnt hit you. if that doesnt work, throw small squads to suicide at him, or jungle swarms. also shooting is really rough. if you have a steggie with blowpipes, take some shots at it. poison should kill him.
I wouldn't put a stegadon anywhere near a fanatic, nor would I waste it shooting at said fanatic... Using skirmishers/scounts hidden in nearby terrain sounds like the best idea to me, provided you can get the gobbo unit near enough to terrain. Also remember goblins are pretty weak, you may be able to shoot the unit and force panic before they even release the fanatics..