Screw with them.
Don't send zombies at them, let them see something, then when they go to investigate it let them find nothing.
When you do send something after them, let them hear scrapping at the door, then when they get ready to open the door and attack, send something in through the the windows behind them, or through a wall.
Creating horror in this format means doing the ol' bait and switch, keep them off guard and let them freak themselves out.
Another good trick, if one of your PCs is good at keeping their poker face and can keep a secret.. let the PC play one of the monsters.. and when the group isn't expecting it... let the PC go all evil on them. "
Essentially the way to run horror is to focus more on the story than on the creatures. In DnD you'll see dozens a day.. in a horror game they shouldn't see them until it's time for the player characters to go insane or die
If you send hordes of critters at them, the players will be desensitized.