Look at the published adventures. There are twenty-five years' worth of adventures to fall back on, some bona fide classics of the genre. A good place to start would be The Haunting, in print the whole time the game has been.
If they've come from DWAITAS they should be well-versed in the basics of running away from bulletproof monsters and finding other ways to stop them. If not, they might try direct violence, and this rarely goes well for investigators.
The key to horror is loss of power to the player - weapons that don't work on monsters is often the way this works in Cthulhu, but it can be done in other ways as well. Players powerless to stop evil, hostage situations, being unskilled in critical skill areas (ie piloting a plane in an emergency when you don't even have a driver's license).
Investigation is key, not confrontation - preparation, stopping rituals from happening before the unstoppable monster is summoned. It really does epitomise "fools rush in"
Metagaming - unspecific rolls without informing players what they're for are a good way to keep them un-nerved and jumpy. Always have a backup plan in place for when they do fail critical rolls as well - don't spend time working out what they can do if they fail to draw an Elder Sign when the Shoggoth is coming for them - you need to KNOW what will happen if they fail, as well as if they succeed. Vaccilating on what happens breaks the flow of the game.
"This is my timey wimey detector. Goes ding when there's stuff."
Figure out what scares the PLAYERS and use that against them. Also, there is a lot of advice and information (as well as free downloadable scenarios and the like) at www.yog-sothoth.com. You might want to check it out.
Pacing is also important. A slow build to terror works well if you can pull it off. Don't just drop monsters on them, but have it start with a strange smell, or a sound they can't identify. One thing about CoC is that the players know how dangerous it is, so they react that way with their investigators. Don't let them see the creatures until after they hear it, smell it, or somehow sense it (a dark room where they actually feel something slimy or otherwise unearthly touch their leg or back of their hand is perfect - but the thing is gone by the time the lights come on).
Also - my advice is to never fudge dice rolls. Call of Cthulhu is quite deadly unless players are very careful. You can push this by letting the dice fall where they may. That also proves that you are not out to get the investigators (the game is deadly enough with sadistic keepers actually gunning for them), but are merely the narrator in the horror story they have landed in.