My only argument for this is how big is an Eldar Craftworld? They are "planet-sized" (moon-sized maybe) crafts, and they move through space. They could even move through the Warp, if Eldar didn't attract 30 times the moths, and DO move through the Webway, occasionally.
Still, if you aren't Commander Shepard flying an asteroid into the Alpha Relay, or that C'Tan named Galactus, strapping a super-thruster to Ego, just because you'd rather not fight him over the worlds you'd both eat, you should probably stick to ships. Leave mobile worlds to the Magog and Yuuzhan'Vong, both of which are hated for it (among so many other reasons).
Eldar Craftworlds are "planetoid-sized", perhaps the size of a small moon, and Alaitoc is specifically mentioned to be the size of a continent. Since continents vary greatly in size, make of that what you will.
That being said, Craftworlds were always meant to be voidcrafts. They are shaped like and built like voidcrafts or enormous mobile voidstations, with their engines in the right places, with great care taken to structural integrity, so on and so forth.
They are a far cry from being spherical objects made up of a wide range of nearly random substances.
Planet-sized crafts are definitely possible in the realm of WH40k, but actual planets? I would say.. no, not really. Maybe if you rebuild the entire planet, but at that point, you've really just built a really large voidship á la Craftworlds, anyway.