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The Realm of Chaos books from the 80s/90s go into it deeply. Sould go into the warp. Should and emotions that are similar group together. When a group of feelings and emotions gets bit enough it becomes self aware. Very common emotions become very large groups, and similar emotional groups band together to become gods.

So sigmar is a god, made from people worshiping him. The sould of people who had strong feelings for sigmar move towards the warp entity that is sigmar when they die.