Familiarize yourself with the citation style required for your research paper. Normally, your professor assigns one or there is a standing rule stating the style to be used. If you have your choice of style, there are four major forms: MLA, which uses in-line parenthetical citations; Chicago and Turabian, which use footnotes or endnotes; and APA, which is used primarily in the social sciences and combines footnotes and in-line citations. Each has its own merits and quirks, so choose the one that is most comfortable or appropriate to the topic and look through the style's manual, which should be available at your a library or online.
Make a list of all the sources referenced in the research paper. Include sources that are quoted, paraphrased or summarized. As a rule of thumb, list the source of any idea that did not spring from your brain unless it's common knowledge. This means you might find yourself with a huge list. If so, fear not --- you've done your work well. Include the author's name and the source's title as well as information peculiar to the type of source you are citing. The exact requirements will be determined by the citation style you are using.
Organize the list of references alphabetically by author's surname.
Title this list "References" or "Works Cited" and attach it to the end of your research paper. Make sure that each entry is formatted appropriately according to the style guidelines and that the section also conforms to the relevant rules.
Cite the specific research within the paper using your style's method of citation. Whether you are using footnotes, endnotes or parenthetical citation, make sure that every quote is attributed, every verifiable fact is sourced and any research or analysis that is not your own is credited to the appropriate creator. When you're finished, every source on your appended list of references should be named in the paper proper. If a source is not named, strike it from the list or re-examine the paper for a passage that should be cited but escaped attribution.