Establish the element of horror you'll use. Typically horror literature uses one of two elements of aversion or a combination of the both: the element of absence -- at its core, taking away the things we depend upon -- and the element of presence -- something or someone intruding upon our comfort. By establishing what element of horror you'll use will help you create the correct dramatic effect within the story.
Focus on one or two characters. A short story is often more poignant, and effectively requires the author to develop a character more rapidly, than longer works like novels. Identify your main characters by thoroughly fleshing out your plot, defining your protagonist and distinguishing your minor characters briefly. Make sure that your characters have a well-established perspective that's developed early, so that the readers understand where the story is going and who they are reading about.
Limit the time frame. By limiting your time frame to only what is needed to cover the events of the story -- cutting out preamble, gradually developing storylines and character arcs, and instead starting exactly where you need to start and getting out once the story is done -- you allow yourself the opportunity to fully explore the most essential events within the story while still keeping it necessarily short.
Maintain traditional story form. Every story must have a beginning, middle and an end. No matter how you arrange those components, it's essential that reader know how and why the events happened and the resolution of your short horror story. Conflict usually happens in the beginning of the story, crisis typically happens in the middle and the climax is right before or leading up to the end of your story.
Cut it to the bone. Any short story requires an author to be very selective and a thorough editor. It's especially important in horror to create the idea of horror without needlessly drawing out events or phrasing. Every line should either heighten the character's fear or increase the sense of horror. Lines that don't serve either of those should be edited or elevated.