You can select a county and state of course and browse through all the images, but for larger cities, there are way too many Enumeration Districts (ED) and thus too many images to browse through - but that will work.
If you know the 1940 Enumeration District for the county of interest, then that will narrow the image browsing challenge immensely, but how many of us know the 1940 Enumeration Districts?
If you know the address, or are lucky enough to find a 1940 City Directory for the city of interest - that makes the job MUCH easier. If you have access to the subject City Directory for 1940 - then you are close to being in business.
Two VERY important tools that I have found are Steve Morse's website for searching the Census - "Obtaining Streets Within EDs for the 1940 Census in One Step". Go to his website http://stevemorse.org/census/index.html?ed2street=1. You might want to peruse the 1940 Tutorial first, but definitely click on the "Unified 1940 ED Tool" button. Enter the state and the county - then the city. Enter the street address next. It will automatically show you the resulting EDs for that address. If it is a long street, then you might get several EDs where that street is located. If you think it is too many to browse, then you can look up the cross streets for the address on the map website of your choosing (e.g. Google Maps) and then you can enter the cross streets in the Unified Tool page. This will reduce the number of EDs to a manageable amount. You can add another cross street if you would like to narrow the number even more. Then browse away until you find the person(s) you are looking for.
In some cases you will not find who you are looking for. There are several reasons why you can't find them:
1. The people did not live at the location stated in the 1940 City Directory. In that case I would suggest looking in in the 1939 and 1941 directories for that city if you are fortunate enough to have access to them - either online or at the library (if you live in the same city of course). Then try Steve's website again.
2. They were missed by the census taker or you skipped over them when you were browsing.
3. You don't have access to a city directory. In this case you will have to browse through many more images for the entire city (or county as the case may be), or wait for someone to index that state.
I also found cases where the EDs stated did NOT include the address that I was looking for. This was generally because the street went outside the city limits or was annexed after 1940 and the proper ED did not show up on Steve's site. In most of these cases that I found - I was too lazy to scan all the images for the entire county, in some cases were hundreds.
The second tool applies if your subject person(s) lived in New York City It can be found at this link http://directme.nypl.org/. Just follow the instructions at the top part of the page. They have married the city directory for all five boroughs with the ED list to help you find the ED(s) for that address quite easily.
Good luck, and happy browsing (of course you could wait for all the indexes - but that wouldn't be any fun would it?)