Well you've got a great Coddowalshagoth start using something like the Well of Sacrific. I'm not sure about the other adventures in the book but one of the big themes we've established is that Coddowalshagoth's cult creates pits and throws their sacrifics into these pits while still digging them deeper. The exact reasons for this haven't been fully explored.
Are the bodies removed from the pit somehow? Are they destoryed? Is there something in the pit that eats the bodies and digs in deeper?
In 40K you have the wonderful spread of mutants, aliens, and demons in the book along with tables to create your own.
I'd recommend considering the use of Daemonettes, Horrors, and Plaguebearers as enemies, depending on the power of your players. For an entry level party, one or two of those monsters is likely to prove a deadly threat.
As a personal suggestion, I think you should involve Locke as a Dark Eldar who may have planted the seeds of the cult. In a savage world Eldar would be more or less unknown and while clearly alien he would be 'human' enough to keep cultists in line, since they're likely insane anyway.
If you want to have something real to hit the players with, in the end game, than boil up a Daemonhost. I think even a Thrice Bound would do well to scare the shit out of players, especially if you play up the corruption of Coddowalshagoth.
As for general themes, incourage the players to fear blood. Blood is a transporter of so many horrible things. You should keep the blood contained with pits or tubes or glass walls, like even the cultists want to protect themselves from it. Make it clear that contact with blood is going to lead to a bad end and don't be afraid to call for Corruption Tests for players who contact contaminated blood.
