If you let the game do your draft for you, you will get a greatteam. If you want to set up the draft yourself, the following are a couple good players to look for that the CPU does not immediately sign:
John Smoltz Justin Verlander Richie Sexon Stephen Drew Troy Tuliowitizki Eric Chavez Mark Teahen Brad Penny Mark Redman Jason Jennings Adam Kennedy
Note: John Smoltz is a starter. Being that he was a closer, he has had better luck as a starter.
Closers go fast in the draft. When manually doing the draft, get about nine pitchers (five starters, two or three long relievers, and the last one a closer). You will get a quality pitcher that you can trust to get the saves instead of having to put in a reliever that does not have the kind of skills closers should have. For example, in your first pick, select John Smoltz. He has over 150 saves in his career.