I don't believe you need to have a very awkward info dump to get the audience to understand what's going on. The key is the create a tight script and only provide the necessary exposition to effectively tell the story. Let's pretend like they're going to make a movie featuring an inquisitor and his retinue investing a Genestealer Cult in the hive city Necromunda. What do we need to know?
- What an inquisitor is.
- Who the Genestealers are and why they're a threat.
- What's a hive city?
By all means pull a Star Wars and mention things to make it seem as though the universe is a much, much bigger place. Maybe the inquisitor's retinue tangles with some Escher gangers while looking for a witness. Perhaps they speak with a medicus from the Adeptus Sororitas who speaks of patients with peculiar mutations. I think the most important thing is to just focus on a good narrative, characterization, and plot pacing. Just make a good story and don't worry about introducing everything.
