Read some background on the poet, George William Russell, also known as AE.
Read the poem once to get the general idea, and note any words with which you are unfamiliar. Look them up. The figure of Lu may possibly be a reference to Chinese poet Lu Xun.
Scan the lines for meter and rhyme. Russell uses a formal structure that you should note.
Read the poem at least twice again, but more closely. Ask yourself what it is about. First, figure out the exposition -- who the speaker is, where he is, to whom he is speaking, where and at what moment in time. Then ask yourself what each line, sentence and stanza is saying. Finally, ask yourself what it is about again, this time trying to discern the theme of the poem. Take notes on the page.
Consider your own unanswered questions about the poem and try to answer them, drawing support from the text (ref 2, graf 4) and its implications. If you don't have any unanswered questions, ask yourself how you would explain the poem to another person. Any facet of the poem that you might need to explain to someone else may represent a possible thesis.
Take any one of the questions that you or a reader might have, and turn it into a statement. For example, someone might wonder what all the references to darkness are about. Turn "What are the references to darkness about?" into "In the poem 'Morning Star,' darkness serves as the antagonist." A number of ideas in the poem will lend themselves to a viable thesis.
Place your thesis at the end of your opening paragraph.
Systematically work through each piece of textual evidence, explaining how it supports your thesis. Organize the paper around types of evidence; for example, diction choices, imagery and symbolism.