Something that seems to boggle most players is target priorities. Yes there are units you just must destroy, and sometimes these are hard to get rid of. However if it takes your whole army to take out this one unit, have you really done yourself a favor that round?
Throughout most of the game, you have a lot of decisions to make. The most important, is what should I kill this round, and how do I go about trying to do it.
First off. Lets get efficient about this. What targets can I get rid of now. What will I statistically kill this round, and what should I wait for. I prefer killing something dead. I decide it needs to die, and I kill it. I dont want to be shooting at the same unit next round.
If you have a havoc squad for instance, and you are firing it into a 10 man squad of plague marines, this is a bad option. You will not kill enough of them. Its even a worse option if you have rhino targets still moving around out there. Chances are you will kill your target if you shoot at the rhino, and you will probably, if you are lucky kill a single plague marine. This is what I mean by being efficient at killing your target. In late game, you are often forced into taking low chance shots, but you should never do this early on. You will pay for it in the long run.
Our units should have certain roles on the battlefield. Keep them in this role, and you will be much happier with how your army is working.