I read a great article on Dakka about strategy, tactics, and how you use them in 40k. It was started by a new player that was having trouble trying to figure out what he should be worrying the most about. This is what I took from the discussion and how I think you can apply it to 40k.
Strategy and 40k, is simply what do you want to accomplish? What is your army's goal for the coming battle. We all want to win, so what does your army need to do to win? Do you need to capture objectives? Do you need to wipe out the enemy? Do you need to stop a mobile enemy so you can capture the objective? Plan what you need to do before deploying. Decide what units are you going to use to accomplish these goals. Where do these units need to be to accomplish their goals? What units do you need to kill or stop to accomplish you mission?
Tactics are how you will accomplish your goals. How will that rhino with a tactical squad eliminate those guardians? Tank shock them and them flame the bunched up ones? Multi assaults to tie up more than one unit so another can claim the all important 3 objective?
Knowing what you need to do, how you are going to do it, and with what forces you can do it with, is the most important part staying focused and giving yourself a chance to win.