The clubhouse!
After doing research directly for more than 30 clubs in the last few years, I have stopped being surprised when I find books of board minutes, documents, photographs, design drawings in clubhouses when I was told things such as "We had a fire and lost everything" or "We've searched everywhere and can't find anything" Golf clubs are notorious for NOT knowing what they have in their possession and not having employees who are interested in doing a true, top-to-bottom search into every nook and cranny from basement to attic to outlier buildings in search of these.
After this its local historical societies followed by libraries at local universities and colleges as these often times have hard copies of old local newspapers that are no longer published and haven't been scanned into any database.
The Otto Probst Library at the PGA Museum is an extremely valuable research source as you can personally look through their volumes of old magazines from both the U.S. & U.K., many of which are not in the USGA's collection. They have a good collection of older club histories as well.
Most important of all is asking for help from others. Because the history of golf course architecture is international in scope, and by that I mean that architects travel across oceans to design courses and have done so since the earliest days of the game in the U.S., that information needed can only be found through the work of many.