Generally, I'd assume that psykers are handed in one of two ways, when there isn't a Black Ship around to scoop them up.

If they're on a fairly primitive world (or not), they'd be hunted down and burned as a witch. While more prosperous and established worlds would have some sort of way of containing them until the eventual arrival of the Black Ships.

Considering the raw power a psyker has, they're too dangerous to leave just floating around, and without anywhere to safely lock them up, their value to the Imperium would not be enough to justify the danger of keeping large numbers of them around.