Some sites do not allow wildcard searches or searches based upon the sounds in the name. Stephens and Stevens sound alike and can easily refer to the same person. A wildcard search for Ste*ens will locate them both and a Soundex search for Stephens will locate Stevens (and vice versa). But some sites (particularly those that perform OCR-based searches of digitized newspapers) may not allow the wildcard and may not allow the Soundex.
Know your options. The site won’t always do all your work for you.
This site on Rootsweb will determine the Soundex code for your name of interest. It will also give you a partial list of names that are Soundex equivalents to the name that was searched.
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