I've done some short writing like this, nothing novel length, and I'm only answering this because I'm around on a Friday night. Trust me, there are better people to answer these questions!
*edit--as evidenced by the other comments that popped up while I was typing
BUT, I typically divide material into two sections. I use physical and personal as the major categories (not very scientific, I know). Physical meaning town, vehicles, storefronts, clothing, technology, etc. Personal meaning habits, customs, old advertising, crime records, baptisms, major events, etc. (even books written in that era, to get a mentality feel). Then I print and divide them into piles by chronological date and minor category separations so they're easier to find.
It's probably important to read a wealth of information until you have a good "feel" for the era and are confident in your writing or thoughts about what you plan to write (especially if it's a novel). Confidence makes everything easier, I find. Even then, there will still be research that pops up, I'm sure. And hey, Google Rocks!
Wow, that's a lot of stinkin commas.