Figure out what you need to cite. Example: Your main character sings a couple of lines of a popular song to his fiancee in order to get her in the mood. You would need to cite the song.
Gather your information for the bibliography. A common method is to write down the information on index cards starting with the author's name, one card per bibliographical entry. You can then rearrange the cards according to the author's name so that your information is in alphabetical order. Important information to have: Author's name, title of the work, whether or not that work is a part of something larger such as an encyclopedia or anthology, the publisher's name and city of origin, what year the piece was originally published. In the case of films, primary actor, director's name, year of production and film studio are all relevant.
Locate an up-to-date reference for the type of bibliography you intend to use. The Modern Language Association (MLA) citation style is commonly used for works of fiction and non-fiction, such as novels or literary studies. That means MLA style would be the natural choice for the bibliography of a short story. All citation styles go through periodic changes, so having the most up-to-date reference is in your best interest.
Bookmark the pages that relate directly to the type of citation you want to write. Are you citing a film, a book, a magazine article or a song? Each of these require a slightly different citation format within the general MLA style, so having the pages regarding each citation marked makes it simple to move from one type to another.
Type out your citations following MLA formatting rules and include it as the final page of your short story when you send it out for publication.