It bears repeating: research not only the people you are “interested in,” but also their extended family–particularly their siblings, nieces/nephews, aunts/uncles, step-siblings, first cousins, long-term friends, etc. I don’t think it’s usually necessary to research the third and fourth cousins of your focus person, but many times something on those close relatives may tell you something on your focus person that you are unable to locate elsewhere.
When you find these people on census enumeration, passenger list, or similar record, look at the “paper neighbors” on that record–you may find your actual person of interest.
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