The OP asked what would you do if you 'suddenly found yourself in the 40 universe', not 'what would you like to be in the 40k universe?'
We are assuming, though, that we're going to find ourselves on an Imperial world. As opposed to appearing in deep space somewhere in the 40k universe and freezing to death even faster than we'd asphyxiate, which considering the size of the universe is statistically the most likely outcome. Unless we count the Warp, which is apparently just as large as the Materium, so we're left with something like a 50% chance of instantly dying as we appear in deep space, a 50% chance of instantly dying due to naked exposure to the Warp, and a negligibly small chance of landing somewhere survivable.
Assuming we do land on a habitable (and hopefully habit
ed) world, I guess the first thing to do is pray that it's not a nightmare hellscape and that the ruling power has nothing against humans and has no particular reason to be otherwise hostile to you. Really, it's probably best to hope for an Imperial world, or possibly a Tau world depending on the human population there. It's better than landing on a daemon world and becoming a tortured Chaos slave for all eternity, landing on an Ork world and being crushed by the local boyz, or, even worse, Catachan.
Then, I suppose the next problem would be language. Chances are we don't speak the local language, due to thousands of years of lingustic drift, if we're lucky enough to land on a world inhabited by human descendants in the first place. On the other hand, I do know how to make up nonsense Latin phrases that sound non-specifically ominous, so I suppose I'm fluent in High Gothic.
Assuming the language problem is magically solved, though, then there's the immense culture shock. Even for the best of us, blending in may be difficult.
And for those of us who'd read all the books and stuff would know exactly how to apply for Stormtrooper training, or become space marines... or how to worship Slaanesh or something If you ask me... I think it'd be slightly fun. The sense of adventure, no?
Why does everyone go for Slaanesh? Worshipping Slaanesh is not fun. Remember
Fulgrim?