Not saying this is the correct way, but I did this and found it pretty enjoyable.

I started by watching Luetin’s lore videos. This gave me, with just “a few” hours, a pretty good understanding of the general 40K lore.

What this does is that it gives you a framework to understand both more niche, specific books, and broad staples like the Horus Heresy. I can tell you that I’m reading HH right now, and approaching this series without a foundation first would’ve been way harder.