Depends if you want to do research with a big "R" or a small "r".
Big "R" Research (meaning large RCTs that get published as original reports in the fancy journals) means hooking up with an attending (likely a full- or near full-time researcher) and working with them on their project, maybe adding a tiny related project that you can call your own on the back of their grant.
Small "r" research (meaning small clinical trials, case series, etc.) means figuring out a clinical question you want to write about, and finding an attending who'll help you figure out how to go about it.
Either way, the most important thing to do is to find a mentor in your department that can point you in the right direction. I found a senior researcher as a PGY-1 that I have never actually worked with, but he has hooked me up with a bunch of interesting projects.