The T'au Empire comprises about 300 planets. Let's go over what might happen with each race attempting to conquer/exterminate the T'au.
The Imperium: They already tried that. It...didn't go over that well. If they were to go and kill the Tau as quickly as possible, they'd nuke T'au (the planet) and Vior'la (one of the planets known for training Fire Caste warriors).
Chaos: Probably the same thing as the Imperium, but they really don't care as much about the Tau as they do about the Imperium.
Craftworld Eldar/Ynnari/Harlequins: It'd probably be a war where losses would be at an all time low, because both races aren't particularly large. In the end, the Eldar would win because they have gods on their side, and almost all of them are psykers. The Tau cannot counter psykers.
Necrons: This one would be fun. Like the Eldar, the Necrons have gods on their side. They use these gods as fuel and as slaves. The Necrons are extremely powerful. They care not for morale, as the lower ranks are little more than automatons. Rather, the Tau would be scared out of their minds as Necrons they thought dead heal from mortal wounds and reassemble. Flayed Ones and Destroyers would further detract from their morale. But what would be worse would be a T'au seeing their comrade disintegrated before their eyes by a gauss flayer. The Necrons would eventually move slowly through the systems that make up the Empire, deploying Destroyers to scour worlds clean. That, or Szarekh would 1v1 Aun'va.
Drukhari: Aside from their gruesome torture methods, they won't stand a chance. The Tau do pack serious firepower.
Tyranids: They'll just eat everything. The Tau would hold out for a bit, and maybe one of the other factions would come to their aid because they hate the space bugs of death more than they do the blue space communists, but it wouldn't go well.
Orks: WAAAAAAAAAAAAAAAAAAAAAAAAGH!!! The Orks would rampage through the Tau systems, caring not for their losses. In fact, they'd get more powerful as Big Meks cannibalise Tau war machines so as to make their own.
Hope this helped!