This is a great article posted on another site (who reposted it from another site, who took it from another), but I thought many would enjoy it here. It is The Lazy Man’s Guide for Constructing a Call of the Cthulhu Adventure, written by Sandy Petersen, original author of the Call of Cthulhu.
If you want to add a "supernatural" touch to your campaign, define the rules of magic and the universe. Make your players comfortable with those rules. Then your new supernatural creatures must then break those rules.