The biggest trick is selling the right story, and not trying to package the universe.
Staer with the 'It is the 41st millenium...' diatribe. Showing shots and brief scenes of a million different wars the imperium is fighting. A space marine gunning down a charging Ork, Guardsman fleeing in fear from advancing necrons. A tyranid horde charging through the rain at a defensive line, cutting to a shot of a carnifex roaring as it begins to charge. Show profile shots of eldar and Tau, a battlesuit turning to face the camera, optics whirring to focus.
'...There is only War'.
----Setting Set. No More. Don't Try And Please Everyone Beyond This Point. Enough----
1) The plot needs to follow one faction, one army, one guy. Be he a guardsman, a Marine, an inquisitor or a Cultist. It's his story, not the galaxies, and not the fans. Have a plot that's about something, make it a satire of war like 'Starship Troopers' (remember how awesome that was)? Make it a political statement, make it a damn musical, but have something to say whatever it is. The Dark Knight was about the nature of humanity and look how well it did, themes make a film, not destroy them.
If you can't do that, then go all out with your nonsense. Make it 300-esque or sin-city sylized, make it all about utter grim darkness, manliness and one-liners. If you do this intelligently and for a reason it doesn't suck ass. Have a focus beyond 'It's 40K guys!'
2) Pick a sentient vilain. Not Orks, and not Nids. I am a huge fan of eldar as the starting villains switching to chaos at some point, it just works. Don't have a bug war or comic enemies, convey the utter grit of the setting with Chaos or Tau. Don't waste the slot of 'enemy' with a moving prop.
3) Pick a good plot. Tell a story, not a fight. Base it on something important, something revolutionary, don't waste time saying 'and then all went back to normal' at the end. Hell, do the fucking Void Dragon waking up, but don't end with 'but all of this is so insignificant that it means nothing'. It works for the board game, but not for the movie.
Make a movie, with 40K sauce. Don't take 40K and try to ham-fistedly add 'Movie' to it.
