Ah now this is why I love Warhammer 40K.

First off, kudos to the new GM. I've never done it, and personally I don't have the patience to..gods knows we players are like kids with guns. Er, right. But I have to say, it sounds as if you're getting it. As a DH player (or any roleplaying game), I personally love it when someone can immerse us into the story. Which is odd because I'm the type to jump into combat or portray my characters faults and strengths via acting, but hang in the background when all the investigation-type stuff happens or we have to plan things. Sounds like you're getting that done, and with the advice here, are getting some feedback.

Speaking of feedback, I'd also say to make sure you get some from your players as time goes on...it's all a big circle. You should ask them what they feel they are contributing and vice-versa. So then comes the mechanics of the game. Besides the simple percentiles and tests, which makes this game a cinch to figure out, it sounds as if the fate points are a big thing still eh. Well, for me being a Warhammer fantasy vet, I know how stingy some GMs are with them (and for good reason). As people have stated here, they are get out of jail free cards...but that doesn't mean your life is normal out of it. *evil grin* You're simply out of the chili-bin and into the deathly freezing water! And you might die for good if you needed that one at a crucial moment later.

Personally I reckon the big hurdel with a neophyte GM and your players will occur at your first player-death. (and it's bound to happen.) We get attached to them for various reasons, and it sometimes gets...personal. That being said, it's around that time when things might finally congeal some more and crystalise you all into talking and dealing with any further issues you might have in-game and out. Things like adapting the story for the loss, and a new character. Getting feedback as to why the death occured (especially if the player as being reckless/careless/munchkin or just not keeping in with the story.), and hopefully drawing you all together a tad better in the end. Just be sure to make the death memorable as well...you'd be surprised how often I remember my character that bit the big one, but in a good way. (although I rarely let that happen...*cough cough*) Then again it sometimes brings out the bad player/bad GM moments...depends on the player/GM and hopefully bth realising it's a game and not a yelling session.

But welcome to 40K mate! Glad to see new GMs in this game or any game. Gods knows we need them, and this game is a good run with it's easy system and widely known history. Just make sure to make it your own in whatever way you and your players see fit. Sometimes too much gloom is bad...but you just can't escape it here. I'd just see what your players want out of this great game, and tell them why you're GMing it. Game on!