How do you actually use these things?

Unless stated otherwise, grenades can be thrown or loaded into grenade launchers, while missile rounds can only be loaded into missile launchers.

But, melta bombs can't be used in those ways:

Melta bombs cannot be used with launcher weapons and cannot be thrown.

So, I'm guessing you have to stick it to your target (because they adhere to surfaces), but how? Is it a melee attack? When does it explode?

My interpretation is that Melta Bombs need to be manually placed where you want them via walking. They're basically mines that have melta-like explosions. <Only War - Hammer of the Emperor> Page 58 really helps with visualizing how big these guys are.

M elta B omb
Designed to be manually fixed to their target with mag-adhesives, melta bombs detonate with a charge of intense heat similar in effect to a melta weapon, and are ideal for destroying bulkheads, vehicle hulls and other heavily armoured targets. Imperial melta bombs are roughly domed in shape but heavy and unwieldy and not designed to be thrown. When a melta bomb explodes it deals 6d10 E Damage to anything within two metres with a Penetration of 12. Anything surviving must take an Agility Test or catch on fire.

- Inquisitor's Handbook 178 on Melta Bombs

Little more in-depth here. I don't think Melta Bombs are meant to be anti-personnel weapons, unless you want to drop it at people's feet or set the bombs up as a trap. Also, I figure it'll explode when you want it to. Make a [Demolitions] test beforehand to establish the detonation method. "Possible triggers are only limited by a character's imagination, and can include trip wires, timers, proximity sensors, or remote activation" (Dark Heresy Second Edition 117).

As for how to roll for it, if your player wants to just lob it at someone, do a BS roll with a possible -10 for it being unwieldy (only do this if you want your player to risk some serious hurt!) and the normal range for thrown weapons (I think it's Strength Bonus * 3). If you want to stick it on someone or something in the middle of combat, do a WS roll, and add modifiers based on whether the person has something metal that the bomb can magnetize to. If a player wants to just drop the melta bomb on the ground and then dive out of the way, just have them roll Agility or athletics or dodge to see if they can get out of the way in time. Assume that the bomb explodes at the end of the player's turn, unless he or she has put it on a timer of some sort.

Melta bombs are basically magnetic shaped charges used to demolish vehicles and bunkers.

I realize that, I'm just wondering HOW do you attach them to whatever you want to explode. I find it odd that it isn't stated anywhere.

I find it odd that it isn't stated anywhere.

You must be new to FFG rule sets.

Like it was said before, a Melta Bomb is a magnetic weapon. All you need to do is slap it onto a metal surface and arm it. It will stay there until someone removes it. I suppose if you wanted to attach it to a non-metallic surface you would need to find another way to make it adhere.

Alternatively, you can go like I have for DH and DW campaigns and just assumed your characters are carrying around just *tons* of duct tape. Or Hallowed Omnidirectional Bonding Strips, as we call them.