The very basic tip, which several have implied but no one has explicitly stated is to work backwards from the known to the unknown, i.e. get you own birth certificate, this will give your parents'names then do the same for them and work backwards like this. The people here will help you all we can, when you get back to someone born before 1837 then there are no more certificates and by then you will be reliant on church baptismal, marriage and burial records from the parish registers. In the case of the Stephenson family though once you get back that far you should be recognising names you have researched occurring in the published biographical records.