Decide what person, place or thing in history you wish to investigate. Write down your theory or idea. Create a list of articles and books on the subject to search, so that you can see what has already been done before you proceed. Historical investigation should take on a wholly new aspect of a historical issue: anything that has been researched or written on before is not usually a good choice.
Think about your end product. Consider your theory and possible end results based on your initial research. Revise your theory or jot down new ideas.
List possible records and resources you can use to locate information for your historical investigation. Also include where those records and resources are located, as well as any contact or curator information you can find. Prepare a task list with deadlines to keep you on track.
Conduct a solid foundation of background research, then get started reading through your primary sources. Evaluate what you have found, and determine if your initial theory remains the same or needs to be modified.