My approach is not too different from Danny and Sarah. Although probably with an emphasis on post-first draft research.
I wrote large chunks of the trilogy at various times (often with 1-2 year intervals), very much based upon what I knew or thought I knew! As I have mentioned elsewhere under the Writing with Purpose forum, my book is a political thriller. It involves Russians, KGB (and its successor), MI6, the Mafia, corrupt politicians, right-wing groups, British aristocracy and corruption in the City of London (including off-shore banking, tax evasion and secret societies). When I write, I do so at considerable speed. Following each day’s work, I will read through and make a preliminary analysis of where I would need more information.
The first draft was based on what I thought I knew and life/work experiences. My characters (I’ve had to cut down quite a few or merge), were very clear in my head. But still, I had to do more research. For example, one of my main characters is based on a person I observed during a trip to Johannesburg (I’ve explained elsewhere). She was a South African human rights lawyer of Italian origin. Her personality fitted the person I needed, but I wanted her to have a different background; the daughter of Sicilian immigrants in a mining district of France. Her father is eventually killed by the Mafia (all background stuff not in the book itself). A similar approach was adopted with the other characters.
The big trouble came, probably self-inflicted, when I wanted to understand more about the Russians. Their history and eventual similarities in the way they had behaved during the transition period (the 1990s) to other periods of their history. Out came books on the Romanovs and the years following the Russian Revolution. It turned out that there had been similar attempts to open up the market to some kind of capitalism – with dramatic consequences for most of those involved.
Next came the issues of the history of the British aristocracy, the 1930s and 1960s fascist movements in the UK, the secrecy of the Livery Companies of the City of London, and the workings of company formation, “tax efficiency”. Not forgetting the issues of political corruption, the Mafia, following the antics of the oligarchs, hackers and on-board computers in cars.
At one point, I read through reports I had written many years ago, especially relating to keeping the public misinformed both in the East and West. (I had prepared the documentation for an awareness programme on the secondary medical effects of the Chernobyl accident.
Of course, very little of the research work will appear in the books - no preaching/superiority! Perhaps I have overdone the work, but I really wanted to get a feel of what I am writing, intimately knowing my characters and the environments in which they operate. And, naturally, based on what I had learned, what go be factors to "change" the character or direction as I proceed through the trilogy.
The books are still not finished. I'm editing like mad, but it has been a very educational process. I acquired much more knowledge than I thought I had!