I try to do as much as possible for every character. Some of them, it is easier to do the research because you have either real examples that you work with, maybe some specific person that inspires you in that case, or the performances from other people, or the characters, or a character from a book.
I remember playing with some friends and being aware that I was acting as I was playing with them - I would think of a character and pretend to be someone else. My parents also took me to ballet school, and there I think I was able to start communicating those feelings or emotions - I danced for so many years.