If we assume that the galaxy as depicted in the
40k maps is supposed to be the real Milky Way, then at least some of the craftworlds must have undertaken some sort of FTL travel (as has The Rock), as they're more than 10,000 light years from the Eye of Terror.
However, as usually depicted, they just trundle slowly through realspace, and dispatch emissaries, armies and fleets through the Webway.