I get into the mindset via several routes, some conventional, some not.
I read primary sources to get a feel and that doesn't just include chronicles of the period I study, but charters and names lists, and shopping lists (when they turn up) because they have a lot to say about society at the time.
I re-enact with Regia Anglorum http://www.regia.org/
and have done so for 20 years now, because as MLE says, it gets you in close. It's one thing to read about details of daily life and to see artifacts in a museum, quite another thing to actually use replica artifacts and get the full sensory input.
As to the thoughts, feelings and emotions - I am a tad off the wall and use psychic research and then get what comes through in these sessions checked out by experts in my period of history (among them an archaeologist and a professor of 12th and 13thC medieval studies) for correctness of mindset and historical detail. I then blend this into the rest of the research.
Michelle, ain't it the truth with some people thinking that they know. (when often they only know what they've seen on popular crap telly and are not au fait with current research). I've had the anachronism finger pointed at me before now, concerning material that I can prove is fact. Although I do own up to giving the Angevins 3 lions on their shield before Cyprus!