If you want to create Cosmic Horror in that Lovecraftian way:
Go to a body of water.
Collect a small amount.
Get a microscope.
Dip a slide into the water.
Watch as the strange beings come alive.
You now have your monsters for your heroes to survive against. For Gods, blow them up to be the size of planets/solar systems.
(Bonus) Realize you are the cosmic horror for those entities under the microscope and how easy it was to destroy their world by washing off the slide and how quickly you can forget about it afterward.
Now add that feeling of apathy to your cosmic monsters in the story.












