Research-wise, I start out with "big picture" stuff. What was it LIKE to live in this time and place? In my academic career I study social history and popular culture, which is pretty much exactly what you need for historical fiction, so I doubly start with that. What were the general cultural trends and sentiments? What was the general attitude towards x? (that might not dictate my characters' attitudes, but if so it's important to know that). What was the feel? What would it have been like growing up in the decade (s) before? What would have shaped their childhoods? What aspects of popular culture would interest them? I feel it's really important to know all this before getting in too deep because it shapes your characters. They're going to end up different people who act differently if they were born in 1800 versus 1905 versus 1950, even if they have the same core qualities.
I'm very visual so I also go crazy finding pictures. Of course I look for clothing and interiors and all that, but I also try and find pictures of any kind of object they interact with. So I know that in 1927 you fold down the sides of a toaster to stick the bread in rather than stick it in the top. I know you focus your snapshot camera by looking down into the waist-level viewfinder rather than hold it up to your eye. I feel these kinds of things are crucial to making a historical period seem real rather than window-dressing. While they're having a conversation over breakfast someone folds down the side of the toaster and flips over the toast. Hardly anyone's even going to notice, but it's authentic. Though of course it's a different medium, Mad Men is something of an icon for me in this regard-- the props people go as far as getting period milk cartons. To me THAT is how you make a historical setting real.
I also look for personal accounts--diaries, letters, memoirs. This is most often where you find little telling details about daily life, not to mention how people actually talked (another big one for me-- if you do it right it's barely even noticeable). I love finding anecdotes I can modify.
I like experiencing as much of the popular culture as I can too. Since I'm early twentieth century it's really easy to me to get my hands on the music, films, magazines, books, and similar stuff that my characters would have interacted with. I like thinking about my character's opinions on a certain song or movie or whatever. Which ones did they like? Which ones did they hate? What trends did they like and which did they think were dumb? All this really helps me both in getting to know my characters and in cementing them in their time period.
In the end there aren't that many actual historical details in my novel-- all the research has been worked in. I feel my characters and their story aren't defined by their time period, but they are inextricably entwined with it. To me that's how you get great historical fiction.
ETA: Haha, oops, sorry, didn't even answer the original question! If I know I'm setting something in a certain period I immediately start doing all the stuff I said above, but I start writing to get a first draft of the story and characters down anyway. I take about 10,000 drafts to get to a final one, so the first is really just pegging down the idea. As time goes on and I learn about the story more all the historical stuff just melds with the other aspects of story and character development. Also writing alwayyyys brings up things you didn't even think to research (wait-- does it make sense for him to take a pen out of his pocket? did they have ballpoint fens or it would have to be fountain? the kind you dip or the kind with ink in it? would you keep a potential ink spill in the jacket of your nice coat? make I just should make it a pencil...)
At least that's what I did for the current fellow. The next one I've known I want to write for two years already but have on hold (except for bits and pieces) till this one is done; in the meantime I've been doing a lot of the research stuff so I'll already have a pretty good idea of the world and how it shapes my character before I start writing. So that's cool.