That said, Codex is meant to be highly customizable (perhaps to a fault). So if you prefer to use something like the Warhammer Fantasy Roleplay method for tracking wounds as a customization or houserule, by all means do so.
Personally, for me, per the immersionist concept, I like to narrate the effects of a hit a bit – “Your shot just nicked his leg, tearing a hole in his pants” (2 HP damage) or “Your ax cut deep into his shoulder, as he yelps in pain!” (12 HP damage)