And they can serve to keep the whole group focused. Clues are also an incredible roleplaying device because they can create a lot of conversation. Players will want to talk and try to piece the clues together, figure out what they mean and wonder where they can find more. Your goal is to hand out information, one little bit at a time, until all the information is revealed by the end of the story. To create clues then, you just need to come up with important little bits of information that the characters don't know yet and can discover during the adventure.
Clues are simply small secrets.
Your goal is to fill your game with many small secrets that lead up to a big secret. To create clues as secrets then, you simply break your big secret down into several smaller secrets and then reveal those throughout your story. I started my own clue creation process by writing out what I wanted to make clues for and why those clues would help the PCs. If your clues have no real benefit to the characters, then your players will learn they don't need to find them to be successful in your campaigns. First, I wrote down a major secret that I've created in my campaign which will take a few stories to fully figure out.