I like running historically-based games — 1930s pulp, Victorian speculative fiction (I’m not calling it steampunk!) — and one of the challenges is setting the scene realistically enough for the players to feel they are in another time and place. One way to do this outside of describing the immediate setting — the small number of cars, the trollies, the advertising of 1930s New York City, for example. Another way that I’ve found is useful is to include newspaper headlines.
Both of the periods mentioned above had healthy news industries, with kids hawking papers on the street corner. Extra! Extra! Read all about it! Germans pull out of the League of Nations! For periods where there are papers, or radio, or television, you can have news in the background to give your game world a more full flavor…you could even use it for foreshadowing on later adventures in your campaign. Maybe you mention the breakdown of diplomatic relations between Japan and China in the early part of 1937 a few sessions before you send the characters to Shanghai on the eve of the Japanese offensive on the city.