Ok, so I don't have the Sorcerer book, I can't afford it at the moment, but it just seems to cool to not run. So I've looked at the apprentice version of the rules, and spent ages reading through these forums, and I'm going to try it anyway. I've never tried a narrativist game before, but was aware of some of the basic concepts before i started looking into sorcerer.
Another thing I'm going to do which may be a no-no is give the players characters (tailored to what i know of their like and dislikes in characters). Also, the plan was to make it a kind of one shot, probably spanning a single 6-8 hours session.

I thought i'd post some of what I'm planning and see if i could get some advice or criticism.

Setting: A fantasy world in which the players have been in before, but set in a 19th century-esque time peroid. Social movements arise that will eventually grind down the last of the great imperial and religious powers, while said power continue their 'Great Game' against a backdrop of towering neo-gothic architecture. The sorcerous element was going to be run with a kind of illuminati flair. The traditional sorcerous groups – black wheel, dark lady, athanian league (kind of catholicy group who are certain their demons are angels, and are trying to get rid of the evil demon worshippers and/or make life better for people) and a number of smaller folk-tradition type groups – try to manipulate power and pull strings from the shadows. Lately though, radical groups who shun the formalised rituals have been gaining more power, demon weilding bankers, lawyers, rabble rousers and drug users. The old gaurd needs to decide whether each other or the new kids are more dangeous.
I was going to try and explore the question of whether and when loyality to group or goals is more important, as well as of course the questions of power.
As for the actual plot, I was think an Archduke Ferdinand type person is assisinated and the characters each have a reason to investigate or are severely impacted by his murder.

My ideas for characters was:
A Youngish and innocently devout Athanian orphan raised by a self-righteous preacher. He's an apprentice of the Athanian League. His cover is a Seminary student and his price is Gullible(Penalty applies to detecting lies or sinister motives.) His Demon is a toad that can turn into a Flameling (a kind of Athanian cherub) and claims to be his grandmother and guardian angel, and a Tulamian (protestant movement from Athanians). The demon needs flies and desires to be worshipped.

A man who's two reasons to live after the death of his wife are his son and his carreer in the intelligence service of one of the greater powers. He'll either be a solitary Dark Lady type or possibly one of the radicals. His demon is a passer who has the ability to take on the appearance of others and teleport to people she has met before, and his kicker is that he recently spid her taking the appearance of his dead wife.

An aging agent-provocateur who has either just or is about to betray his country for the benefit of Black Wheel, who only just tempted him to join with a demon and material reward. Possibly a mentor to the father character.

A police chief who grew up in a violent poor neighbourhood and really believes in justice and making the area a better place via police work, but is growing more and more dissatisfied with the extent to which the police are made to serve the elite. He's a powerful member of a freemason type group, and his sorcerous faction will probably be Athanian.

Obviously I've a bit of work to do on the characters, but I want to leave them a little open for the players to interpret.

What else do I need to think about/do?

There's something that Judd (Paka) has used to great effect in his Dictionary of Mu convention games.  He uses pregenerated characters that come with kickers, and then has the players select a character based on which kicker sounds most interesting to them.  This might not help you if the characters were already custom tailored to your players, but it's something you might want to try.  Kickers are a great way to get the players interested and involved right from the start and helps your game hit the ground running.