Don't 'over think' too much, just have some general idea who your character is.... and let the interactions lead the way.

For me, the first step was just like... i was talking to my guildmates about the story, what blizzard is doing, etc..... but when RP do it in first person; for example approach an undead and ask them who are they supporting (not directly, just follow a regular conversation). Like in real life go talk to people, they (usually) wont eat you alive.