As all of this information is being collected, you should try to start piecing together what you know about each person. There are many ways to organize such information, pick the one that suits you best. As you collate the information you will begin to see the gaps in what you know. These gaps show you the question you will need to research. This is where you begin.
Genealogical research is like conducting an investigation.
In living his or her life, your relative or ancestor came into contact with the various civil and church record keeping entities of American, Italian, or other governmental or church bureaucracies. As you piece together your relative or ancestor's life, you will have clues to help you in your next step in your investigation. For example, you think your ancestor arrived in the Port of New York. You then have to learn what sort of records were kept, where they are now, how can you access them and what will you expect to find in them. People's lives are captured in bureaucratic records when they are born, baptized, serve in the military, get a passport, marry, own property, do something newsworthy, apply for naturalization, apply for social security and in addition to other things, eventually die and are buried.