I am currently in the process of researching and writing a novel based upon actual events which occurred in 1897-1899. Here is the process that I have been following, which might be of some use for you:
(1) Identify and locate any original source material which is directly on point with the story you are writing. Obviously, the existence and amount of this type of material will depend upon the historical period you are writing about and the events you are covering. In my case, I was able to track down the original court documents from over a century ago. There were also a number of newspaper articles written at the time which were archived at my state historical center's library.
(2) Identify and locate contemporaneous secondary source material. These would be materials that were written at or close to the time of your novel. In my case, I was able to locate a history of my state and a history of the county in which the events occurred. Both books were written in the early 1900's and covered the time period in question. This gave me a better understanding as to what was going on at the time, from the perspective of those who were living through the time period. Another example of contemporaneous source material was a copy of the store catalogs in use at the time. I was able to locate a reprint of the Montgomery Ward and Sears catalogs from that time period, which has automatically given me a picture, description and better understanding of what existed at that time. Magazines, newspapers and other print media from the time period is also helpful not only in getting a better understanding as to what was going on, but also to word choices, etc.
(3) Read some novels written in that time period. This has been mentioned in other responses. I've found it mostly of use with regard to dialog and description rather than plot or character development. I am writing for a 21st century reader, not a 19th, so I am more concerned with learning how they describe doing things or getting to places so that I can better incorporate those ideas into my own writing (e.g. how long it took to get from one place to another by train) as opposed to writing in the style of the time period. Also, I figured that my own characters would have been aware of the books when they were written and perhaps read them themselves!
(4) Read current day historical novels and watch movies/tv shows set in that time period. I have read three or four modern novels set in the time period I am focused upon and have gotten some ideas from them. It has been useful to see what other authors found to be important or necessary. I have a journal that I've kept when reading them to keep some notes on the time period. I've found it useful to make a simple alphabetic list (one letter per page) with things I have run across that I otherwise wouldn't have even considered. As an example, from one I learned that in my relevant time period the floors were often dirty since most men chewed tobacco and spit, either in the spittoons which were everywhere or simply on the ground. Just a detail that caught my eye, but thanks to wiki I was able to learn a bit more--and even found a photo of a spittoon in a 1910 courtroom, which is important in my novel since it is a legal thriller. Movies set in a time period can also be very helpful as it gives you the chance to look at the background scenery, items in a room, etc. They've already done the research, you just have to blockout the story line. Try turning off the sound or better still, changing the audio to a different language sans subtitles. That forces you to simply watch and listen to what sounds are present in the background. Works well on old movies that don't have a musical score.
Much depends, however, on the type of novel you read, however, as I've found there are two types of historical novels. The first is a novel that just happens to be set in that time period, that is the time period itself is really the focus of the novel. You could put the story in about any time period and it would be the same. The second type has the historical time period at the very heart of the story, it is what the story is really about. A novel about a well-known historical figure, for example, will call for a much greater focus on the historical issues.
(5) Cultivate friendships with those that are experts in parts of the historical time period in question. The fact is, there is only so much you can realistically learn secondhand. If you think about it, however, there are people that already love a particular time period or at least an aspect of it. By figuring out who they are and making their acquaintance, you've got an expert to consult and help make sure you are on the right path. For instance, if your novel is about knights, hit the local Renaissance Fair. There you will find a lot of people that are more than happy to help you, plus you can actually see how rope was made, chainmail, bread, hold a sword, etc. In my case, our local living history farm features authentic meals from the time period my novel is set in, in a historically accurate house. They've dedicated their life to recreating that time period and simply love to answer questions. If you read the dedications of many books (not just historical fiction but most genres), you'll find "hank you's" out to people that have helped the author with specialized information or read a draft with an educated eye.
I've also spent some time in historical museums just looking at things, clothing, etc., from my time period and tried to picture what they looked like when they were brand new. Our job as writers of historical fiction is to make the past come alive. Picturing what a dress or book or gun looked, felt, smelled like when it was first worn, opened or held is a good exercise. BTW, I'm not saying I am very good at it, but am doing my best!!
Again, the above is just the process that I am following. I am sure there are things that I have overlooked and would love to hear them (so I can incorporate them into my own research!). Hope this helps.