For the majority of beings with souls they are devoured in the warp by gods demons or creatures. I think that the stronger the soul is that the better chance it is going to get devoured right away. However,there are the eldar who hide their souls in soulstones or infinity circuits. Some souls are bound to objects or machines in order to preserve them although this is a practice generally used by chaos...the imperium has machine spirits. I think that if one were wise or powerful enough or imaginitive enough than anything is possible