Main thing I would say is that keep the supernatural part in the
background to begin with and slowly reveal it. It works much better
that way. I started my game off introducing them to town with some
very hum drum western plot lines, then introduced some weirdness
through indian magics (which they dismissed), then they found traces of
wierdness (i.e. mass exodus from Boot Hill) but little proof moving on
to some wierdness that they face but was deniable (vanished without
trace once killed/escaped) and so on.