A good tactic with any race is to establish a base quickly, but it is especially important with the space marine. While it's a good idea to capture strategic points closest to your base from the start, do not embark to far before you establish a solid base.
The first thing to build is the Stronghold. From there, recruit more servitors to speed up the building process. Afterwards, see to increasing your squad cap (the population).
Before you start building major buildings, construct at least 5 plasma generators for power. Look to build the chapel barracks and armory, before upgrading the stronghold's level.
With relatively basic defences established, sally forth and seize nearby strategic points. At all strategic points you capture, build a listening post then a couple of turrets. This way you can protect your strategic points from enemy probes.
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