If you've thought about your mythical creatures, read up on them, you've likely taken a peek at what they would be like in the past. I've said it before and I'll say it again: most paranormal romances take place in the present, with flashbacks of the past at most. Why? Of course, I can't tell you for sure. I do have theories, though. I think it's a mixture: one part the excitement—with guns, gadgets, etc. paranormal romance mirrors urban fantasy in a lot of ways; there's the this could happen! factor that runs through our veins as we read it—and one part historical accuracy. Let's face it. It's a lot harder to tie in a real historical atmosphere on top of writing your mythical creatures. Therefore, many authors don't do it.
Two successful authors do immediately come to mind, however. Kathryn Smith's Brotherhood of the Blood series takes place in the past, as does Teresa Medeiros's After Midnight and The Vampire Who Loved Me.
If you're thinking of writing a paranormal historical, keep yourself in a historical mindframe. Read Bram Stoker's Dracula or Lord Byron's The Giaour. Remember that religion was a big part of people's lives in the past—much more so than today. A vampire might be called a demon by some, instead of a vampire. The person who saw it (and definitely anyone seen with it) would be named a witch. People who wanted to cleanse their lives turned to prayer. Of course, the degree of this increases the closer your story is set to the middle ages, when science barely existed at all. The more science in your world, the more logic abounds, and the more people search for explanations other than the extraordinary. Remember to keep your characters historically-minded and historically correct.
If you're having trouble wondering where to start, take a look at this previous post on research!