I had just made the jump from playing Space Wolves to playing Saim-Hann Eldar. My army ready and complete, it was my very first game against my good 40K friend Brother Captain James who was playing his Tyranids. James is an excellent 40K player, and an even better Tyranid player. He knows space bugs.
I was crushed without mercy in that first game, almost down to the last Jetbike. Not only did I fail as an autarch, but it left me so ho-hum I was ready to drop kick my army into the trash. Part of the problem is that I was playing my Eldar like Space Wolves...
The other part of the problem was I wasn't giving myself enough time to understand the process of getting good with the army. The first point to keep in mind is that your first ten or so games with a new army don't count. We all want to win at 40K, winning validates that you are doing something right, that you understand the game- true, but there is a learning curve to make it there. If you can free yourself from that notion for the first few games, there is an amazing chance for self discovery and learning how your army works and what needs to be refined in your list.
Once those tactica pieces come together and you can execute with your army on the table, the next step is to just get games in.
Lots of games.
If you are cramming for an event, tournament, or are in a hobby rush there are two great ways to accelerate this. Play in a doubles or group game- playing with a friend or two against two other armies adds more on the table to react against- forcing you to make the correct decisions in the moment. Another way is to just play a game till turn 3 and from there call is and see who would have most likely won if the game continued out. Often in 40K the game is "over" by turn three- and this is a secret weapon of getting good and crushing.
Playing your army in such a way, with momentum and tactics early on so you pull ahead with such a lead the game is decided by turn three.
After this level of play- a few more dozen games, the next checkpoint is to get to a place where you don't have to think about your army anymore in terms of calculating results. Mental stuff like if I move my jetbikes here to take on these terminators do I have enough volume of dice to remove the unit?
Freeing your mind of those internal calculations means you go from a passive player who reacts to an active player who dominates. Instead you hunt with your army, ready to take advantage of any mistakes your opponent makes because you will be able to see them on the table vs. being so focused on the mathammer and tactics of your own army.