So you've got a story in your head that just needs to be told. In this case, a supernatural story. Supernatural stories are much like stories in other genres, but they follow their own unique guidelines. Knowing the genre well helps you stay on track.
Master the basics of storytelling. Many people have good ideas, but what separates a real storyteller from an amateur is knowledge of story structure. Before you embark on any writing project, you must know the basics. These include story structure, rising and falling action, protagonist, nemesis, climax, denouement and theme.
Create an outline. Once you've organized your thoughts, it's often useful to outline your story, scene by scene, until the very end, to make sure you are actively moving your characters towards a climax. This is helpful for two reasons. First, you won't get lost halfway through writing if you have a map of your story. This will save you a lot of heartache and confusion, and it will make writing a pleasure. Second, you'll be able to answer any questions you may have set up in the beginning by clearly seeing how your story unfolds. Don't make the mistake of rushing head-over-heels to start writing.
Explore the genre. "Supernatural" means anything out of the ordinary world--something unexplained by natural or scientific law. This is not to be confused with science fiction, which allows for seemingly extraordinary events, such as the tractor beam in "Star Wars." The difference is that science fiction is based on a scientific theory, however improbable. The supernatural genre includes ghosts, vampires, werewolves, demons or even comic book characters with supernatural powers. And while most supernatural stories are scary, some are not, like the romantic films "Ghost" or "Ghost Town."
Structure your approach. What kind of world are you creating? How large is the supernatural element in your story? From whose point of view are you telling the story? Many stories are structured so that a normal person encounters or witnesses a supernatural being or event. The story then follows how that event affects the protagonist. You can turn that same story around and structure it so that it's the ghost who meets a normal person. Different approaches will dictate the story you tell.
Establish rules and stick to them. For example, if vampires can't be seen in the light of day lest they burn to ash, then keep that rule throughout your story. Otherwise, it's a cheat. In order for readers to maintain a suspension of disbelief, they must believe in the integrity of your story. If you change rules to bend the plot to your convenience, then you've sabotaged the story and any relationship with your audience.
Keep it new. It's been said that there are no such things as new stories, only old ones well told. Basically, does your story contain a fresh twist? Why tell the story of "Dracula" when it's already been told? However, if your story is about a modern-day Dracula, that's a new spin on an old story.
Make the supernatural element integral to your story. Supernatural stories are, by definition, about something supernatural. Supernatural things are not just thrown into the story to make it more interesting. Suppose you introduce a character who's a ghost. Unless the ghost plays a major role in the story, then what's the point? Don't attempt a supernatural story if those elements are superfluous to the story. Ask yourself if the same story can be told without their inclusion. If you can tell the same story without those supernatural elements, leave them out.