How to create an ASTMOSPHERE of mystery in a game?

I want to run a multi-session supernatural mystery adventure in my game. Evil forces are trying to learn the forbidden arts of witchcraft, in order to get the attention of a long-lost god who is considered by many to be "the devil." The PCs will have to learn and delve into witchcraft themselves in order to stop this from happening. A mysterious mentor will teach them how to use a Tarot deck (Raider-Waite-Smith, if anyone cares) to learn the lessons required to be able to use witchcraft. Seven cards of the Major Arcana (this is Tarot terminology) will provide the vital clues on how to do this.

I think I've got the mechanics of this down. I know about Justin Alexander's Three Clue Rule, and so on. What I'm struggling with is how to elicit the athmosphere I want. If you've seen the movie The Ninth Gate, read the DaVinci Code, or seen the Netflix show Archive 81, I think you know what I'm talking about; that sense of "What the f--- is going on here? I just have to know how this all connects together and get to the bottom of this!" The TV show Lost is probably another good example, but I haven't seen it myself.

Things that I think will help:

• Thematic music. Every time the topic of the Tarot deck comes up, some mysterious-sounding specific song should be played. This trick is used in Wagner's The Ring opera, as well as in the Lord of the Rings movies (for example, the ring has its own theme which is played when the ring is mentioned).
• Frequently giving the PCs new little bits of information which seem to lead them to the conclusions they're hopefully craving.
• I think personal stakes will probably help to keep the players engaged, which in turn will perhaps contribute to the "I just have to know more" feeling I want to elicit.

One trick I can't really use is what the DaVinci code did - it used a story that in some ways sounded so plausible that the reader could think "Wait, could what's proposed in this book actually be true?" That worked in that story, because it took place in the real world and was about Christianity which many in the western world take very seriously. I can't really do the same with my homebrew world which has very little in common with the real world.

So - does anyone have any ideas or suggestions on how to accomplish this? Again, it's the atmosphere of mystery that I'm primarily concerned with here, although mechanical discussion would be welcomed too.