Advice? Hhmmm...
I found out that the biggest problem with running a game in the Planescape setting is having TOO much to work with. The planes are a mighty big place, and I really had to concentrate on a small area to develope.
I modified things quite a bit, but kept the overall feel for Sigil. The first group that used Sigil didn't have much to do with the various factions since they were working for an indepedent charcter. The second group was almost completely involved in a rivalry between the Mercykillers and the Dustmen.
As far as background information, I used some of the TSR publications including the main boxed set for Planescape, the guide to Sigil, the Blood War expansion, and the personality NPC book for Sigil. I also read most of the Planescape books that were available. The quality of the books vary greatly by author, but I was mainly interested in getting the feel for the Planescape world.
It is a big undertaking. I highly recommend highlighting the most important areas you want to have in your story, and then detailing them first. There are also some Web sites with Planescape information on them that are helpful.
Try this one:
http://mimir.net/main.shtml
This site hasn't been updated for a long time, but it contains massive amounts of information. I found the players guide to the Cant (the language in Sigil) to be particularly helpful for getting the correct feel. I printed out copies of it for the players.
Good luck and let me know if you have other questions.