Outline your story first. Consider both the horror and Western genres. Your story will need to pay respect to the conventions of each genre. It's a good idea to read a classic in each of these genres if you aren't already familiar with them. Consider reading anything by Stephen King and Louis L'Amour. These two authors are well known in their genres.
Choose ideas and themes that are obvious to each of these genres, then put an original spin on them. Gold mines, ghost town, and Native American legends all make good material for a horror story set in the Old West. Werewolves, skinwalkers and even vampires can be worked into traditional Western situations such as gunfights. They also make great characters for the traditional stranger-in-town story lines.
Stretch the boundaries of technological possibilities in the 1800s. Consider adding aliens to your story. Aliens can add a horror element and allow you to introduce flying technology not normally used in a Western. This is a reverse implementation of the space Westerns popular in the pulp era and they can be an effective theme in a horror story set in the Old West.