"How does the Killing Blow Rule Work ?"
Here's you answer and an easy way to remember it.It should be called the Killing Wound rule ! If a character or unit has this ability then roll to hit, then roll to wound. Any wound rolls of 6 = a Kill (irrespective of the number of wounds remaining).
Note:
No armour save or regeneration save is allowed
Ward saves can still be taken
Can only be used against roughly man size creatures (up to a unit strength of 2 - so this doesn't include monster base models like Trolls and Ogres).
There you go, I hope that helps.
PS. Thanks to Ikke for correcting an error I made.