Write out the existential themes you wish to explore in your story. For example, you might choose existential themes of fate or isolation, which are commonly found in film noir works. Think through these themes so that you can decide how you will apply them to the narrative of your story.
Map out your story before you begin to write it. Create character and plot outlines to use as a writing guide later. Even though your finished story is likely to be much different than your initial outlined idea, the outline will nevertheless help you organize your initial ideas.
Choose characters and situations that represent an existential theme or condition. Often, this is most successfully done through allegory. A famous example is Albert Camus' novel "The Plague," in which the author explores existential themes of isolation and death through a fictional narrative about a quarantined city suffering from a plague epidemic. Use opposing characters to represent different philosophical viewpoints. For example, you might choose one character who is brooding and introspective to represent the darker themes of existentialism. You could then contrast this character with a strong-willed, determined character to represent existential themes of human autonomy.
Write out your story fully. Make reference to your outline periodically to ensure that you incorporate all of the points you initially had. However, do not allow the outline to fully dictate your story. As you write, you are likely to develop your themes and/or incorporate new ideas. Balance your initial aims for the story with the thoughts that you have as you go along. This will help you create a story that is true to your initial idea, while not being contrived.
Reread and revise your story multiple times. After you finish, it is often best to set the story aside for a period of several days or weeks. This will give you a fresh outlook on the story's themes and style when you begin revision. As you reread your story, make a note of sections or themes that need development. For example, you might find that an existential theme you incorporated is too vague for a reader to grasp. Revise your story from beginning to end, paying special attention to the underdeveloped sections you noted. Repeat this revision process as many times as is necessary until you are fully satisfied with your story.