Even in WFB Slaanesh is the youngest of the Chaos Gods (with Khorne being the 'oldest'), but it's never really discussed explicitly how Slaanesh came to exist. My personal opinion is that rather than the Warhammer world being a world within the 40K galaxy I see it more as alternate reality.
An example might be a simple sandwich cake (stick with me on this one):
The Warhammer World's reality is one layer of sponge, the 40K Galaxy is another. But separating them is the jam that is the Warp, Immaterium...whatever you call it, that connects to both realities but prevents either of the layers interacting with the other.
In this instance it would solve a lot of problems regarding the presence of Old Ones, Gods and similar races; obviously the Gods reside in the warp, and the Old Ones were the master of utilising said realm seeding other worlds (one of them perhaps being the Warhammer World in order to explain the large number of races). In this theory the Warhammer World could quickly become an alternate Earth (look at maps of the Warhammer World and tell me it doesn't look incredibly similar to our
Also in Liber Chaotica a few sections regard a Warhammer's clerks visions of the 40K galaxy as shown to him through the use of magic.
Of course this is all just a theory, I like to believe its true but I wont force anyone else to believe it
EDIT: Bit o controversial statement for you here-
With this theory maybe when the worshippers of Sigmar pray to their God and he seemingly listens and grants them power, it's actually the Emperor responding to their pleas...certainly would explain how a mortal man (Sigmar) became a 'god'.