There are a lot of great replies here. I'll add my .02 bc this area is my big weakness. . .
I just want to add in that sometimes those authors just make it up. If you can't find info on the creature you want to write about, why not make your own rules and world for it?
For example, Melissa Marr's Faerie books are so in depth and well-written in the world building that it seems like she must've found a wealth of faerie lore but in fact she created much of it herself. (And it was so convincing that it has since turned up in other books, making it seem as if there is this secret cache of faerie knowledge out there somewhere.)
Disclaimer: I'm aware that my approach is NOT the only one.
That said, I'm someone who gets foaming at the mouth angry over folklore carelessness. Folklore is a passion for me (& eventually will be the area of my next academic degree). I believe that if you want to write it, you need to research it. Research is critical--whether it's on folklore or police procedure or military (etc etc). Mistakes are fine, but I believe completely that one should start by doing the research whether it's lore or how to embalm a body or bake a pie.
As to knowing the lore & changing the lore, a lot of what I created is an evolution of the existing lore. As to the knowing faery lore, I grew up with it. The changling, iron, not crossing water, court & solitary fey--those were all direct from lore. They are core details. Some species (glaistig & gancanagh) are in the lore; others (rowan fey) weren't. The courts in the lore are traditionally Seelie & Unseelie. I renamed them as High & Dark and then I added the Summer, Winter, & Shadow courts. Even those, however, were evolution of the lore. There IS an embodiment of Winter, Cailleach Bheur, but she is solitary.
Basically, I suggest that the making it up should start with the knowing of the lore--ie if you're calling it a faery, it should have lore approp traits AND if you deviate from it, you should explain why in the world-building. I've had to defend even seemingly little changes. The most amazing of these to me was the removal of the letter "e" from the word for man ("fear"). I had a letter from an angry Irish folklorist complaining that I'd corrupted the spelling of "Fear" because I used the Anglicization, but hadn't done so with "bean." The word "Fear" is pronounced "far" (it means man); bean is said "ban" (woman). We currently spell bean sidhe as "banshee," but I chose to use to the traditional for it & most things--except "fear." I was referring to the Dark Man, an embodiment of death, and the use of the traditional/correct spelling gave death a different tone because the word fear would be read by US readers as "state of being afraid." Yeah, I spent a while on what seem like little choices, but that letter from a respected folklorist? Scary, scary moment to me. I was glad I had thought long & hard about the choice.
Do you have to? Nope. Some people don't, but I think that our lore is a treasure akin to the art that hangs on museum walls & disrespecting it is right there with giving the Mona Lisa a pair of shades. That lore in my faery books is my
heritage. I take it seriously. . . which then means that when I'm writing about Assyrian daemons or my spouse's Norse heritage I owe it the same respect.
At the end of the day, unless there's a specific reason you need your story to be historically accurate or tied to a specific culture's lore, this is research on fictional creatures. There's no real "right" or "wrong" just what is most commonly believed and/or written. You're free to create whatever you want.
You are, but (sorry to argue) knowing the lore is important if you want to use the TERM from the lore. Yes, people DO call things "faery" or "vampire" that are utterly lacking in folkloric source, but . . . I guess I see it as using correct words in general. I wouldn't call my car a "pony" even though it's nothing like what most people would think of when they hear that word. A pony is a very specific thing, so is a car. If I wanted to write about ponies, I'd research them. So if you don't want to use the lore, re-name the creature or thing. Frex, I've written a text that has an addictive drink in it from a natural source. It's not really opium, not really alcohol, not really a drug, but it is all of those. I chose to call it "verrot" (which means rot/decay in Dutch).
If you aren't going to create new names, there are some great research sources for myth of all sorts of places. If you're looking at demonology, the Lesser Key of Solomon is awesome; Welsh myth has the Mabinogion; for Norse, look to the Eddas (Gretir's text is great fun). If dealing with witches, you should probably look up the Malleus Maleficarum (also called the Hammer of the Witches and/or Der Hexenhammer). For selchie/selkies/silkies, a nice source is the Orkneyjar website. For them, you might also look up seal biology. For the wolf in my books, I looked up the correct tail positions to convey emotions.
A great overall source is the Sacred Texts site. You can read a lot of source texts that are hard to locate without building up a library. It's still free I think:
http://www.sacred-texts.com/Consult experts too. Folklore geeks are often all too happy to talk lore.
Try a few of the academic journals like The Lion & The Unicorn or The Folklore Journal. Check out critical theorists too. Jack Zipes is brilliant. Although his book using meme theory is not very readable, the rest are so good. Maria Tatar & Marina Warner are great too. For critical essays, look to the university press books as opposed to small press (which, while entertaining, can lose their accuracy & be filled with popular but inaccurate data).
Travel is awesome if you can swing it. Arguably, the selchie lore originates in Orkney (which incidentally is also a heavenly place). Seeing the common seals follow you in the water during a grey foggy day as you walk through World Heritage archaeology sites along the water REALLY makes you get how the stories started. Someday, I'll write the story that comes from that lore & the weeks spent there, but I can already say that I understand that lore differently by being there. Ditto the eerie feeling crawling into a "faery mound." I've been inside more cairns that I can count over the past 5 years. From Maeshowe & Minehowe in Orkney to Newgrange in Ireland to little ones that required absurd hikes OR mound landscape that naturally occurs but isn't actually a cairn at all, being there in the climate, the fog, the sense of being in an otherworldly place. . . it's better than days of reading lore.
Hope that was of some use & doesn't sound too much like craziness.