The first thing I do is decide exactly what I like about a set period and wish to emulate. I then build a framework that the players can easily understand and put their characters in.

I'll use a 1940 art deco RP I did as an example. What draws me to this time frame are the visual aspects. Film noir, detectives, nazis, Italian mafia, etc. Even though it's a time frame I'm familiar with, I did some research to get a better idea for my story. I cintinued to do reaserch any time something came up that I wasn't sure about. Another thing to take into consideration was my player base. These guys were good writers, but bio shock was about as close as they got to anything from the 1940s. So I made an alternate U.S.A. city and basically fused aspects of New York and Chicago together. I did make it a magical setting, but magic could only be used by people who possessed medieval artifacts, and they could only use very specific spells. 

It worked out very well. Yes, we had that one guy who didn't understand that remote car starters weren't around in 1940's america. All in all though it worked. We managed to bring the RP to its intended end without strangling each other.