The overarching lesson I learned is that research is never what you think its going to be and that is very time consuming. To be thorough, it takes tedious amounts of searching and reading published secondary sources on your topic to gain a general context and basic understanding of where the next phase of your research will take you. I noticed someone else mentioned this, but it also helps a great deal to pick a topic that you are greatly interested in. This is another important criteria because you are going to be spending a lot of long hours with the subject if you want to get something substantial out of it. You are not going to want to slave over pages and pages of microfilm on something you have no interest in chasing further information on.
The research can be tedious at times but if done in a logical order, the process by which you advance in your searches will get easier if done correctly. Starting out by looking at information and evidence already published is the golden rule of any beginning research project. It not only acclimates you better to the subject but is a convenient and useful tool to help you gain a bearing on where you will further explore. It also helps to make a list of keywords dealing with your topic so that way you can have a physical representation of what your trying to look for and not just keeping it all in your head. Not only that, but many times, helpful primary sources are cited and techniques by which the author came about these documents are indicated which will hopefully spawn some creativity in your own research. There is rarely a crucial document/letter or perfectly documented photo that will give you the “A HA!” moment, so take the time to do your preliminary readings first and gauge what is beneficial to continue on in researching. Just like you should not limit yourself to primary sources, do not limit yourself to the resources which provide secondary and primary sources. Explore all available archives, databases and libraries at your disposal. This is another reason why research is time consuming. With all the available information at your hand, it takes time to comb through the relevant information but there are many happy and pleasant people at the archives and libraries to help you on your way.
One of the last important notes and for me, one of the overlooked things in research is what you would consider failing. As Professor Pinsker pointed out, even if you find nothing, the most important thing is the physical process of research and the various techniques and tricks you pick up along the way that you keep with you. Becoming familiar with the various databases, search techniques, and all the facets and facilities at the archives will only increase the efficiency at which you find information. While you may not always find what you’ve been looking for, the various process and practices that led you to this point will do you much more good in the future.