In reality, human souls are instantly shredded in the currents of the Warp when deprived of a body. But at least you stop existing and don't get tortured in the sea of dicks like Eldar do!
Amusingly enough, when you piece together enough of the depictions of souls and the Warp from the BL novels, RPG sourcebooks and GW rulebooks, it becomes plausible (and probable) that souls do keep existing in the Warp after being eaten by daemons. They just become a tormented part of the essence of chaos. (Edit) It's like hell, but with worse weather.
(End edit)
The way the afterlife seems to work, at least in the way that seems to contradict the least amount of the fluff I've read, is that your soul enters the Warp upon death, it then either dissolves as the Warp currents shred it or it gets eaten by Daemons and other warp predators. What is left behind is much the same as a Daemon that's had it's power retracted by it's god, a formless set of memories, personality traits and so on that is distributed across the Warp in such a fashion that it doesn't really exist unless something feeds power into it, at which point it coalesces into the original soul. Things like the Ghost Engine from Dark Heresy or the Dark Eldar revival process can draw a soul back together and pull it back out of the Warp, though the former is unreliable and the latter has a time limit.
Some souls seem to get used as abstract batteries by the gods for various purposes. Khorne's fluff states that his forges are manned by the souls of warriors who died peacefully and their fires are fueled by those who ran from battle. Nurgle turns many of the souls he collects into Daemons or plants in his garden, Slaanesh keeps a lot of them partially aware and torments them for fun, Eldar Croneworlds are haunted each day by Eldar who have to relive the Fall each day at dusk, and then swarmed by Daemons at night.
The Emperor has been implied to intercede in some fashion, but it's generally left very vague as to whether or not he actually does. Cegorarch always saves Harlequins souls upon their death and attempts to save those of Solitaires. What happens to Ork souls is unknown.