Plan Ahead!
Historical societies are generally volunteer run, special collections libraries may have specific reading room hours, and archives may need advance notice to pull material. Give yourself plenty of time to contact the institution you want to work with in order to make plans.
Bring a Camera...
...if you are allowed. Taking photos of documents and other items is a quick and easy way of "taking notes" for review later and can help you make the most out of your visit. Be sure to check with the institutional policy before taking photos, however, to make sure that it is allowed.