This is a basic approach to putting 40k miniatures together. Best advice to open with is that you want to take your time and look at your work as you proceed. Keep a knife on hand so that you can use it to clean up the edges if you think that it is needed.
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Prepare a space to work in that can be easily cleaned. I recommend getting a table and placing a layer of plastic down to make things simple.
Select the figurine that you want to build and ensure that you have all of the pieces and tools on hand. You will want the parts to the figurine (in this case a Space Marine), a small knife or cutting tool, and a good adhesive (I recommend super glue).
Break the pieces of the figurine from the plastic framing. Be careful so you do not break the wrong areas or things. This is a good time to have a small knife or a cutting tool on hand.
Begin building the figurine by selecting the legs you want to use and gluing them to the small platform that came with the figurines. Allow time for the glue to set.
Select the chest pieces, both front and back, that you want to use and apply enough glue to them to allow them to remain connected. Once the glue has set, attach them to the legs that you already glued in place.
What you do at this point becomes much more important for the appearance that of your figurine once you are finished so think carefully on the pose you wish them to be in and what items you want to have in their hands.
Select the arms you want to use and apply glue to the stumps so that you can have them stick to the body. You will have to hold the arms in place to ensure that they remain where you want them. Keep in mind that if you want the figurine to be holding something then think about that when positioning them.
Once the arms are in place, carefully apply glue to the weapons or items that you want them to hold and set them in place. Like before, hold them in place until the glue has managed to set.
Select the head that you want to use with the figurine and apply a small amount to the base of the head before setting it into place.
A backpack should be set into place at this point. Again, apply a small amount of glue to the indent in the plastic then put in place, holding until the glue has had a chance to set.
Select the shoulder pads that you want to use and apply a small amount to the underside of each before setting them into place over the arms and shoulders.
Once the figurine has set, select any accessories that you still wish to add to the figurine, taking time for each piece to set into place before trying to apply another.
With all of that done, your figurine should be ready to take to the field of battle.
If you wish to continue, you can paint your figurine either following the color scheme presented for an existing faction or you can create one of your own.
These are some examples of the kind of work that can be put into the painting and poses for the figurines that you create. Don't be discouraged when you first start things, keep trying and you can get better with time.
When you are all finished, ensure that you clean up your workspace as well as your hands so that the adhesive will not cause irritation to your skin and any paint will not have a chance to dry and become more difficult to clean.