Here's my .02 theory:
The Emperor could have led assaults on a few worlds at the start of the the crusade with 4-5 legions attacking one world. After the fighting he looks at how the legions did, picks which leaders did best overall and ends up appointing leaders for each legion until the Primarchs were found. Wouldn't have taken too long and if the leaders were killed it would be easy for legions to pick new leaders themselves.
Granted, it also sounds like at least the first 4 or 5 primarchs were found very early on and probably led multiple legions for at least a short while.