Finding secondary source materials relevant to your project - what is called conducting a "literature review" - is an essential part of any research project. The importance of locating secondary sources is not simply to find background information for your project, though this is undoubtedly important. The purpose of the literature review is to identify a scholarly conversation in which you are going to situate your research. This process, called positioning your argument, is described more fully on historian William Cronon's online guide to historical research.
Putting together a list of books and journal articles on a subject usually starts with a book recommendation from an adviser, a syllabus, searching amazon.com, or talking with friends. All of this is fine, but there are systematic things you can do to supplement this process.
First, search JSTOR and America History and Life. You probably already use JSTOR, a popular database that provides full-text access to hundreds of important journals in an easy-to-use interface. But JSTOR is always out-of-date, and by an average of five years. To get around this limitation, search America History and Life. Not only is it up-to-date, but unlike JSTOR it indexes books and dissertations in addition to journals.
Assuming you have done your literature review and have found books related to your topic, you should have some idea as to what primary source materials should be available to you. That is to say, chasing down footnotes and looking at bibliographies in the back of books to see what other authors have used is a great way to find primary source collections.
Here are some more ideas for when you don't know where else to turn. First, go to the home page of this guide and look at some of the databases on the front door. Proquest Congressional alone contains primary source materials for essentially any paper topic in U.S. history. Also, these guides contain links to databases containing an enormous amount of primary source material for colonial history, the nineteenth century, and the twentieth century.
If you want to find primary source collections in one of the archival repositories at the Yale Library, go to this Primary Sources at Yale website. Browse the overview of collections and feel free to contact reference archivists asking them if they know of collections that might help you write a paper on a certain topic. Archivists are happy to receive these sorts of e-mail inquiries, and there is contact information for them on that webpage.
If you want to search Yale's collections on your own, use these tools:
Worldcat is the most complete source for finding collections around the world.
Archive Grid is also a great tool for finding collections, both at Yale and beyond, though it's not as complete as Worldcat.
Keep in mind that a very good - and often overlooked - source of primary source material at Yale can be found in the Microform Reading Room in the basement of Sterling Memorial Library. This link brings you to a list of major microfilm collections available in the Microform Reading Room.