After starting with bits you like from different things, the next step is to sit down and think out how a world with all those things in it functions. Mostly this is a case of thinking out how to "connect the dots" and make the various things you want to have in your setting feel like they belong together. A good start is looking for logical connections and overlap.
So with the world of Errant, I had this idea that I wanted to make something with that manga vibe where a bunch of people all have cool swords and magic powers and fight monsters.... but I wanted it to take place somewhere that looks and feels like modern day Northern England.
So first problem: Most Japanese series about people wandering around with magic powers and swords draw on Japanese folklore, culture and religion; their stories about kami, oni, youkai, wandering ronin etc. Just dropping that stuff into a British setting feels awkward and jarring.
Solution: Find the British equivalent to that. We have a legend about a magic sword already: Excalibur! And we have stories about all sorts of otherworldly ancient beings like fey, demons and cambions. So I did some research and the story became rooted in Arthurian lore, which helped shape the plot and make that very manga story vibe feel at home in a British setting.
Second problem: Modern setting but with knights with swords? Can that work?
Solution: Britain still has knights and a royal family with archaic traditions, so I just did research and drew on real life. You see modern British people memeing on Princess' hats at events, or you'll see photos of the Order of the Garter in their knightly robes marching past a crowd of people in normal modern clothes... we have some really bizarre rituals in parliament, like the benches between the government and their opposition are designed to be just over two sword-lengths apart so they don't start fighting (no, really, I'm not making this up). So a little research gave me a ton of inspiration on how it might work, and what the attitude of the public might be.
Even the idea of a political activist in a mask and a ridiculous costume isn't out there in a British setting where we have novelty candidates like Lord Buckethead or Count Binface.
Then it was just a case of applying logic: If it's a modern setting, why swords, not guns?
Easy solution: They're not fighting people, they're fighting demons, which are innately magical beings. We know from British folklore that magical beings don't like iron so.... what if that's because iron and steel are conductive and can be "charged up" with a magical charge when touching or close to somebody's body, a bit like how metal gets magnetised. Bullets aren't made of iron or steel, and they're not really in close contact with a person's body much at all, and leave small puncture holes rather than hewing things apart, meaning there's an easy reason, even before the sword draw magic system, for a knight to wield a sword rather than a gun, and that ties in perfectly with a British setting, because very few people have guns here.
Basically, ask yourself annoying questions, about anything illogical in your setting, like "well, everyone in your setting lives on boats, what do people eat?" (solution: Look at what people traditionally ate in frequently flooded places, island nations and places without arable land), or "If some people have magical powers, how do governments manage that?", that sort of thing.