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So one day you just lose it, was it your boss pushing you too far or maybe that dumb servitor made your coffee just a bit too hot; and you take the advice of those weird voices in your head. You get a gun and start talking to others wondering if the emperor is really all that. A couple of you get together in agreement and start looking for some alternatives. Skip forwards a few months and there you are in the planetary capital, big chaos banners all over the place and the skins of the faithful go for about two crown a square meter, and a big thunder hawk descends packed full of chaos space marines here to inspect the new chaos aligned planet. You certainly didn't do it all on your own but you managed to start a successful rebellion and now have some CSM to help back your claim against the eventual counter attack. Skip forward another couple of weeks and your out in the streets shooting autoguns against the IG with your fellow heretics and even a few Traitor Astartes, but WAAMM by no fault of your own you been crushed by a drop pod full of the emperors Space marines. So now what... are you just gone, or are you in the warp in some place? And assuming you don't just cease to exist what does the after life of a fairly successful heretic bring?

are you just gone, or are you in the warp in some place?

Devoured by the daemons in the Warp... which is agonizing, but over rather quickly, compared to eternity, at least... and sucked into the whirling energy of the Immaterium.

When a normal Chaos God worshiper dies their energy becomes part of the God they worshiped predominantly, and if they didn't worship any of the Gods predominantly then they become.. I forget what they're called but you know what I'm on about. No matter how successful you are, if you're not infected by Nurgle's Rot or turned into a Demon Prince then you just become part of the God's energy, which he can then use to make more demons or whatever he wants to do.

It is said that Furies are formed from the souls of mortals who preferred to use Chaos for their own gain rather than seeking the patronage of a Chaos God. Without a deity to claim their souls, they are unable to enter a god's realm and thus forced to spend their existence drifting aimlessly through the warp, exposed to its unpredictable nature.

This is from the Lexicanum entry on Furies. It implies that the souls of people who die are claimed by and enter the realm of the deity they worshipped in life.
This begs the question: What happens to the worshippers of Chaos Undivided?

Uhhhh the gods go splitsies on them. Ouchers.