The primary reasons for citing sources in a research paper are to give credit to the authors whose work you have drawn upon and to allow readers to track down your sources, should they wish to do so.
There are many style guides for formatting citations and creating bibliographies. Chicago is frequently used in history, but you may be called upon to use others.
These tools allow you to gather citations and PDFs in one place and then quickly create a bibliography. You have to start using them well before your paper is due, however.