I'm surprised that you've never played a game!
Anyway, solo-gaming wise. Well, I think you can legitimately make a little game out of 40k mini's. I was once bored enough to draw up a load of "skirmish" missions where I had a load of different tables I'd roll on each turn. It was a bit like a randomly generating "dungeon" game and I ran it as a 200pt "Squad" game without limitations on weaponry. Imagine Space Hulk meets Heroquest meets Pathfinder meets Dawn of War: Dark Crusade the tabletop. With the whole Planetary Empires thing it was cool to make little campaigns and what not.
Worked well, but that foreveralone feeling was depressing.
Anyway. With regards to true solo-play. Playing any game over 250pts is just not viable. There's not tactical acumen required (you know every move) and if you cheat to favour a particular unit or force then that's pretty lame to begin with. Also, moving back and fourth between board sides just serves to remind of the lack of social contact you are having.
The best advice I can give is google gaming clubs in your area and hope for the best.
"Ambition is the biggest killer of Momentum"
Starting afresh with my Chaos Space Marines.
Project Log Link (Placeholder) -
Project Rebuild, Reboot, Recycle:
Stripping, rebuilding and remaking my Guard army.