The below table should help finding approximate damage equivalents:
(Note that these are merely approximations that don't take special rules like Tearing into account. Deviations by 1 or 2 points up or down should be fine.)
40K Strength DW Damage (POST-ERRATA)
* (Krak Missiles, Power Fists, etc. are modeled too weak; they should get +1d10 instead for smoother progression)
Pen conversion: DW Penetration is approximately 2x(7-AP). For D Weapons, Pen is about 20.
ROF conversion: DW ROF is approximately 2x(40K ROF) Rapid Fire and Heavy Weapons could be considered to approximately have a 2x(40K ROF). Whether Semi or Full Auto is up to you.
More can be found here: http://community.fantasyflightgames.com/index.php?/topic/37819-adjusting-dw-weapon-stats-more-to-the-40k-tabletop-stats/