1. Pick out a nice guncutter for your Rouge Trader team to impress the locals with. The first two Imperial Armour books are chock full of cool choices. I like the Space Marine Thunderhawk Gunship though the Imperial Navy Marauder Destroyer is nice too.
2. Pick out a nice ground vehicle to get to those places the guncutter can't reach. 40K is loaded with cool vehicles. While a Land Raider seems like the obvious choice, I like the Chimera.
3. Pick a minion to plug into a refurbished Dreadnought.
4. Reread that paragraph from the Rogue Trader edition of Warhammer 40K about Rogue Traders (tucked away near the back of the book). Then decide what size Imperial Guard force to bring along and figure out some back story as to why a Space Marine Company is willing to travel with your Rogue Trader.
5. While you're reading an old copy of 40K Rouge Trader, start a petition to bring back Squats and Zoats.
6. Play some Dark Heresy. Get those characters to 5000 experience so they can compete with the beginning PC's in Rogue Trader.
7. Bolter or Plasma Pistol or both?
Feel free to add to the list.