Wizards train to use magic. They don't have any sort of inkling beyond book knowledge. They have skill but not talent. Think of them as monks who cast spells.
Sorcerers are natural born casters. Their power comes from their bloodline, mostly. They typically do not have the training to learn more spells. They have talent, but not skill. Think of them as barbarians who cast spells.
Warlocks have received their power through pacts with devils or demons either they themselves made or their ancestors made.
*sigh* I have to point out that despite what you see in games, lasrifles win wars. Just because lasrifles suck at killing superhuman killing machines in power armor does not mean that they are bad weapons. You are shooting them at the wrong targets. The most common enemy the Imperium faces is lightly armored humans armed with lasguns or autoguns, NOT SPACE MARINES.