I'd say, try to play with 4 players max. I'm currently GM'ing a party of 5, all experienced players but imho you just have more dynamic and less interference with 4 players. I'm going a bit nuts on DH and just buying everything that comes out (being a 40K fan for 20+years makes game like a wet dream come true) but I'd say, go for the Core book, the GM screen (handy, handy), and if you can get your hands on it, the Character Portfolio as the basic sheets are just complete crap. Like all basic character sheets from every game I ever played, after a few level-ups, there will be NO decent room anymore on the basic sheets for skills and talents, much to the frustration of my players. With the character folio's they're purring like a kitten... For the rest I find 'Disciples of the Dark Gods' and 'Creatures Anathema' welcome additions. Great sources for enemies and antagonists.
For my players, I started out with the intro story from the preview, then the story from the core book and the Space Hulk story from the Purge the Unclean book. From there I noticed that my players prefer more action oriented roleplaying with heavy roleplayed character focus and that they're not that big fans of investigative undercover stories so I brewed a large scale campaign ready for them.
Basically I've got some story elements prepared, general overspanning story arcs and - hooks. I started of the campaign a bit more linear with crash landing them on a thought-to-be lost Imperial colony that has a WAAGH brewing. The Orks pulled down their ship from orbit using a hybrid Orkified Archeotech array. I have some deeper subplots running with a century-spanning Adeptus Mechanicus conspiracy to recover an STC, a Rogue trader who's pillaging and selling archeotech equipment, some of which corrupted, and the player's inquisitor doing behind-the-scenes investigations into it all. The adventure on the planet brings them into contact with the descendants of the original colony, who are being racketeered by Blood Axe Orks, who in turn are cheating the main Warboss who in turn is being influenced and corrupted by iffy xenos tech and he's laying siege to the crash landed Imperial frigate, from which the players escaped during the descent from orbit.
So basically I've got enough vague idea's ready to accommodate the player's whims without letting them get lost in the sandbox. I've got NPC's ready, general timelines for the bad guy's actions and ideas for expanding the main plot lines which the players choose to walk on, and I've got some handouts prepared with clues and artwork gathered to illustrate. I've always preferred to work campaigns like this with experienced players as you never know what they're going to do. Fully railroading a party of players always feels a bit forced, and letting them do whatever is just too loose. A good balance is needed between prepared stories and having enough alternatives ready in case the players decide to blatantly ignore carefully prepared clues or just blatantly and rebelliously taking a different route.