What kind of incorporeal creatures?
You are dealing with space marines, guys who regularly go toe to claw with some of the most crazy bat-poop strange and frightening beings which ever existed. It is mentioned in the fear section of the core rulebook things which would drive a normal human insane are only slightly unnerving to a space marine. Point is, for something to drive a marine bonkers it has to be very terribly and powerfully insanity inducing; somehow I doubt a ghost or two will really pose any problems to a space marine.
Those ghosts continuously alert enemies while the marines are sneaking.
Pulling levers or manipulating equipment the space marines have recently set or used. ("Who activated the drawbrigde!? Sven just fell off, now we gotta fish him out of that river... I hate the smell of wet fur.")
Or other similar annoying things, just be sure to allow an 'out' for the players (don't make things impossible).
As for incorporeal, set some rules:
How do they attack and will their normal attacks actually hurt a super human genetically modified killing machine?
Do they have specific weaknesses ("Man why don't those ghosts go anywhere near you Sven?" munch munch... scarf... uuuurrp "Dun know, but man this GARLIC bread sure is delicious. Want one?")
Are they limited to only certain areas, or near certains focii?
Are they part of the enemy force, or natural to the area, or neither?
Based upon the actual belief of space marines (or rather un-belief as it were) there aren't many religious or blessed items that would work for a space marine. Crozius Arcanums I'd say would, I always imagine them to work on a different principle to normal power weapons anyways. Force weapons and psychic weapons would obviously. Certain relic weapons (GM discrection, named weapon of a great hero who used it to slay 665+1 daemons yeah, generic relics that are only relics simply to limit their availability, maybe not so much) would have a 'history' of glory and honor which may give the marine, who obviously holds a great deal of respect for that history, some power over the untouchables. Las, melta, plasma... yeah not so much, they still rely on physics to work; things half-phased in the 'spirit realm' that can't be hurt by material weapons still shouldn't really be hurt by them. Psychically infused bolt shells, definately. If you think its necessary for the marines to have to kill the creatures, just be sure to give them the option (espetially if said creatures are known ahead of time) to obtain weapons or gear that can affect them.
Then there is the though, your kill-team includes a librarian for a reason. Don't go watering down the librarian's role by giving every other marine the ability to fill in for him every time it becomes important. It would do good for the team to learn some things actually require a specialist, and thus give the librarian player a sense of importance and let the other kill-team members be aware of the need to keep said specialist safe (even if they think he's a filthy mutant).