As strongly as it's possible to suggest, don't prep a plot or story for the PC to follow. Prep a situation with NPCs who have goals. Having something solid in your head about scene A, then scene B, then scene C, etc will only end in frustration all around. Follow the advice in the core book, especially about obvious vs obscure clues. The three-clue rule and node-based design links in the OP are well worth the read.
Best of luck. There's definitely a learning curve for mystery and horror if you're coming from mostly D&D-like games.
Unless you're playing with a group of historians, it's a good idea to write up a quick one-sheet on the time period. What's been invented, what pop culture is like (movies, songs, etc), who the famous people are, etc. Nothing too detailed, but it can throw things for a loop when PCs start talking about things that won't happen for another decade or two. The 1920s seem to be an especially odd time for this. So much is familiar but it's also so different.
That's why I tend to go with Cthulhu by Gaslight, London in the 1880s. There's a lot more general cultural osmosis about that particular time and place.
Read up on daily life and ordinary topics that are generally overlooked in history books. These can add a lot of great texture and depth to the experience for the players. Period music along with horror soundtracks can hell a lot, too. You can also go intentionally incongruous with the wrong period music. Slightly later stuff or wildly later stuff done in an era-appropriate style.