Some tips I have accumulated after my first game:
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Try to end turn with your scouts in cover. The neutral forces will savage them if they are caught in the open.
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Keep yourself alive! Veterancy matters a great deal, and be prepared to fall back to preserve the lives of your units.
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Locate the enemy bases as soon as possible and use that information in picking where to expand. You do not want to be caught between two enemy forces.
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Be sure you understand how the weapons work on each of your units. Space Marines and Necron Warriors, for example, have the rapid fire rule, which means they fire twice as many shots at close range. Dreadnoughts do amazing damage in melee, but are mediocre at range.
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You must be continually either scouting or expanding with the object of seizing a resource. Preferably both. Complacency will get you killed. In the grim dark future of the 40th millennium there is no turtling.
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Combined arms rule the day. The different units fill very different roles.