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I know there are souls in 40k but is there an afterlife for them?

Yes, you get ripped apart by Daemons for all eternity or devoured by the Emperor or get to chill out in the infinity circuit.

The afterlife is the reason 40k exists.

Some people try to win at life and become the most powerful, the most richly rewarded and longest lived. Inevitably, they either die and lose all of that, or they are beaten by someone even better than they are and lose it all that way. Horus was like that :he was the greatest man who ever lived, and in the end he was erased from existence. He didn't get an afterlife.

Other people, like those marines who have no freedom or personal lives of any kind, or guardsmen who march to death, have embraced eternal life. The Emperor was born from a thousand sacrifices, and when he gave his life away at the Siege of Terra his life was sustained forever by the imperium he saved. When guardsmen give their lives away they are also rewarded for the value of their sacrifice.

Generally it involves getting munched on by some warp entity. But there's a select few who find there way into the super secret club in which they get to party with everyone who's worthwhile (Warp gods, emprah, surviving primarchs (all of them), Pius, Eldrad, Maugan Ra, etc.). Sadly, Draigo never got an invite so he's trouncing through the warp, trying to find the party, angry and having a raging desire to crash it. Poor twerp.

There's also a possibility of them being killed and floating around the warp.

The Warp. Prior to the Eldar's descent it was calm and safe, enough so for sufficiently powerful warp presences ("souls") to chill there and reincarnate after a while. The average human "soul" would still have been flayed away to nothing though, the way a candle dies in a light breeze.

Now, the realms of warp gods makes the situation foggier: there's some implication that sufficiently devoted beings end up in their god's realm, but a lot of that also sounds like they're just used as raw material to make new daemons at that point. Since the Emperor is technically a warp god, and has his own daemons of sorts (or whatever you want to call the beings that manifest in living saints), whether particularly devoted/valorous members of the imperial cult end up in a special little safe warp realm or not is anyone's guess.

The warp hasn't been safe since the dinosaurs thanks to the war in heaven whose closure marked the Eldar's sixty million year ASCENT.

The old Eldar Codex made mention of the fact that non-Eldar souls aren't usually strong enough to retain sentience after death, so in one sense there actually isn't much of an 'afterlife' in the traditional sense for humans.