The Craft of Research
We've had this book for years and this is the first time I read it. It's great! The authors walk you through a research project, step by step. While not everything applies to historical fiction, there are some great hints on organizing your questions, attacking the problem, finding resources, taking notes and getting help.
I highly recommend it to other beginning researchers. It's a great help when you need to take a massive problem like "How do I write about this historical time period" and break it down into small, manageable chunks.
I'm doing my planning right now... I think it will save me a LOT of time in the long run...