Primary documents can be found abundantly by using any standard web search engine like Google. However, Encompass or WorldCat (see description below) can be good sources for primary documents published in book form.
One excellent website offering access to primary documentation is Trans-Atlantic Slave Trade Database, sponsored by Emory University and others.
The Pennsylvania Gazette, available online by library subscription. served as the paper of record in the 18th and early 19th century in the British colonies and early U.S.
Google Books contains a wealth of pre-copyright (pre-1923) materials.
See also the footnotes of secondary sources, which often will point to primary documentation.
For tips on citing print and electronic sources, visit Trexler Library's Citation Guides for Print and Electronic Resources.
Or visit the Online Writing Lab at Purdue.
For automated citation, try the shareware Zotero.
For help with annotated bibliographies, visit Purdue's Online Writing Lab for definitions and format of an annotation.