The training scenarios are a great place to start, then we found it good to play mini-geddon.
Aircraft are worth avoiding till much later.
We also found it good to keep all lists the same and remove special rules: we played space marines without They Shall Know No Fear.
We started playing identical lists with tactical marines and land raiders.
Added land speeders and the scout rule.
Introduced the infiltrate rules and space marine scouts.
Then added war engine rules and warhound titans.
After they were playing mini well, we played 3k and brought in planes.
Then brought in the army rules and other forces.
We found space marines were actually hard for new players, (most just wanted to kill things and struggled with the intricacies of positioned movements and prepping assaults; space marines can win through speed without killing much of there opponent.) - this may be up for debate, but ATML seem a better starting list. Due to fearless and reinforced armour, thousand sons are also very forgiving. - good luck, and keep up the training! More players keep the game alive.
