I do some, especially on very specific things (e.g. I looked fairly detailedly into the American deities Inti and Kokopelli for a couple of characters and a side-quest in an American-themed region), but it would be more accurate to say that I generally pick up interesting things through the course of my studies or general reading that inspires me. For example, wouldn't the Groom of the Stool* make a great twist/extra detail in a "sinister advisor" plot?

*the guy in charge of wiping the king's bottom, highly sought-after due to the extensive private access it grants one to the king.