Nah, the rules are very simple: everyone can just introduce whatever new fiction they want to, until the other person disagrees. There's no risk involved, things will always go according to the consensus of the players' vision (and the consensus is usually easily reached).
I can't really give an example of play for obvious reasons, but I guess bolter-porno would suffice too.
P1: I drive my blade through yet another dog of the False Emperor with a satisfying wet noise of torn flesh and cracking of the broken bones
P2: His guts splay your armour red, in his dying breath he utters "Emperor protects", and you can almost hear Her laugher. You can't help but join, your laugher, slowly turning into a howl is just another note in this symphony of destruction.
P1: This is my greatest masterpiece, a worthy offering to Slaanesh! Cosmic nu-jazz improvisation, beyond rhythm, beyond structure, beyond understanding of the puny mortals, true music for a true God.
P2: You toy with the last survivor, stomping your ceramite boot inches away from his skull over and over, revealing in his fear, until you drink him dry. You drop your heel onto his face, exploding his head like a ripe watermelon.
P1: I carefully remove his eyeball that landed on my face and chuckle. This is a good night! Then, I hear booming warcry, that no mortal throat could possibly produce. A space marine. "Blood for the Blood God! Skulls for the Skull Throne!". Well, we can't have slaves of that unrefined idiot spoiling the symphony of Slaanesh, can we?
P2: (nah, I'm not into this whole Chaos-on-Chaos stuff, let's just stick to slaughtering imperials?)
P1: (sure) A space marine, clad in heinous, tasteless blue and gold. "We march for Macragge!", he screams and I can't help but feel pity for him. Poor sod, oblivious to the truth, who've never gazed upon the beauty of the Eye of Terror. Regarldess, his dying screams will be one more note in my masterpiece.
Basically it's a process of collaborative creation, focused on milking the situation for cool details, where two minds can produce something more thrilling than one.