If you havent played it before, then you should try prewritten adventure first, its so easy to go over-the-top otherwise. I think there's atleast one in the Main source book. The difference between D&D and CoC is about as big as it gets- one is about heroes&adventure, the other about mystery and horror.
Atmosphere though, is difficult because it only exists in the minds of the players. You can dim the lights, fill the room with the appropriate victorian-age antiquities, play eerie music, light candles and all the usual stuff if you believe that will help.