The Imperium of Man is a very devout empire. The God-Emperor is so titled for a reason, after all. Mankind's conquests are in his name. Prayers and sacrifices are sent to him by billions of worshippers. Entire worlds exist dedicated to faith.
But what of the larger Imperial Creed? For example, are the Primarchs worshipped at all? Can someone tell me about any major Saints or martyrs? What about religious practices?
We see a lot of the warrior side of the faith, but not much of proper observances.
It's a difficult thing to define, simply because of the sheer scale of the Imperium. Matters will inevitably vary from one world to another, and from one sector to another, and Missionaries are skilled at twisting native beliefs into ones centred on the God-Emperor, meaning that there are (at least) hundreds of thousands of distinct variants of the Imperial Creed, and these are in continual flux, with variations deemed as having strayed too far often being eliminated by the Adepta Sororitas (in their role as the internal police of the Church - the largest-scale of these actions are regarded as "Wars of Faith"), while new variations spring up all the time and are spread by pilgrims and colonists, merging with local traditions and creating yet more variations.
Within that, the Primarchs are likely to receive worship alongside the Emperor, as His Sons, particularly on worlds made compliant during the Great Crusades, and especially on worlds that the Primarchs actually set foot upon (the stasis-locked body of Roboute Guilliman on Macragge is a site of pilgrimage for all of Ultramar and beyond, for example). Veneration of the Primarchs logically pre-dates organised religious worship of the Emperor (though disorganised worship existed long before the Adeptus Ministorum was founded), simply due to their connection to the Emperor, their deeds and the sheer force of presence they possess (it's been noted that some of the Primarchs' had such force of personality that mortals could not easily bear their presence - itself a lesser form of the Emperor's radiance). However, this only extends to the nine known loyal Primarchs - you wouldn't find veneration extended to Horus, Fulgrim or Peturabo on an Imperial World, at least not legitimately, and it's easy to imagine that many of their laudable exploits have been excised from the history books or re-attributed to others in light of the Great Betrayal.
Saints are another matter. There are potentially billions or even trillions of individuals venerated as saintly across the Imperium, and most of those are regarded only locally (upon a single world or across a single sector). Only very few individuals are significant enough on a galactic scale to be regarded so highly across the entire Imperium - the first that springs to mind is Sebastian Thor, whose actions contributed highly to the end of Vandire's Reign of Blood and who reformed the Ecclesiarchy in the years afterwards.
Martyrs would be even more common - the Imperium is oft-noted to regard martyrdom as a virtue, as the idea of giving oneself utterly and irrevocably in defence of faith and species is one that the Imperium is dependent upon. Martyrs would be possibly too abundant to acknowledge all of them, though I imagine that convents of the Adepta Sororitas keep a record of all of their Sisters who are Martyred in the course of their duties.
Religious practices… well, there are countless distinct cults of worship, focussed on differing aspects of the Emperor, collectively ruled by the Cardinals who oversee each Diocese (typically a planet, but some heavily-populated or significant worlds may have several - Terra is said to have hundreds), who in turn are collectively overseen by more senior Cardinals (typically covering a sub-sector equivalent area), then an Arch-Cardinal (typically covering a sector), and layers of hierarchy and politics between there and the Ecclesiarch (who commands the entire Adeptus Ministorum). With that sheer scale in mind - there are well over a million Cardinals in the Imperium, and each is a Peer of the Imperium, able to wield political influence akin to that held by planetary governors, Rogue Traders, Inquisitors and Astartes Chapter Masters - it should become clear that it's nigh-impossible to catalogue the religious practices of the entire Ecclesiarchy.
Imagine at the Cult of the Emperor (in whatever form is currently or locally prevalent) is equivalent to Christianity in this sense (and making no other comparisons for the sake of avoiding real-world debate) - a core and singular focus of worshjp, from which many different variations have sprung, both legitimate and otherwise. The difference here is, of course, scale - the Imperium covers approximately a million worlds and vast numbers of people with a colossal variety of conditions and origins, so it can be expected that any given Sector will contain anywhere from dozens to thousands of distinct variations of religion.
In one sense, this can lead to an overwhelming amount of scope and scale, but on the other it does permit immense narrative freedoms when it comes to defining what the Imperial Creed actually is. In either case, it's better to pick a starting point (a singular world, perhaps, or a collection of worlds founded during a single Crusade) and expand from there.