Research adds verisimilitude to your story. But first your story is a story. Before you get lost in a great sea of research—reading, note taking, cross checking sources, etc.—write an outline, or even better a rough draft, of your story. Whenever you don’t know something mark it with zeros, x’s, a color. Or, you can make a list of notes of details that need research. Whichever way you choose to mark your needs, these are the areas you need to research.
You are writing an entertainment not a documentary. The audience/reader is going to be bored with facts. Focus on your story. As you develop your story line—love interest, hero’s journey, political intrigue, mystery, whatever your genre—you will discover what facts are needed to complete the story. You may need terminology, actual places, mood, tone, and certain events. Maybe reading about a battle scene might help with your battle scene.
If you are writing a biographical story you will need more extensive research. However if you keep the story idea in mind your will be highlighting only certain events. Know those in detail, relax with the rest.
After you complete your outline/draft you begin looking for the pieces of information that will help you enrich and complete your story. This research method of writing the story outline first will save you hours, if not months or years, of time.