Draft the outline of your story. Write down the major character or characters and the setting. Select an element of the supernatural to write about and then outline how your characters and this element of the supernatural will collide.
Open your story introducing the reader to your main character or characters and your setting. In the first page of your story, everything should be just fine. Use this time to develop your character, telling the reader details about them and getting the reader to care about them.
Start sprinkling your text with uncanny details that act as red flags to the reader that indicate all is not as it should be. For example, your main character might begin having strange dreams, or notice objects turning up in places they shouldn't be or other odd details. On the other hand, your main character might begin to start noticing strange things change in her body, such as growing sudden vampire fangs or fur.
Bring the supernatural elements of your story to a climax, forcing the main character or characters to overcome them or become hurt or die. Alternatively, demonstrate how the paranormal and your character directly overlap, such as a main character who is part werewolf or alien. For example, a story about a man man who turns into a vampire while working as a doctor could show him fighting his thirst for blood with his desire to help people, inherent in him already.
Write an ending that either allows your main character to triumph over the paranormal element or which eeriely shows the power of the paranormal. For example, for a story about ghosts entrapping humans you could have the characters find a way out, or perish in the home, creepily becoming ghosts themselves. Or your could write an ending where you simply resolve the conflict. For example, if you're just using the paranormal as the setting of the story, and the actual focus of the plot is a love story, end the story by resolving the main conflict.