What this section covers is single one-off adventures, to which HöL is well suited. I know of gaming groups that play extended campaigns in other systems, and then have the occasional break for fun and dive into a single HöL game. If you're looking more towards long term goals and objectives, try the section on running a campaign. Of course, it's possible that your one-off expands into some new multi-part beast. Adapt. What I have described below is pretty much a free form method to creating adventures, with very little in the way of specifics. In my experience, this is the best way to run HöL. I've kept everyhting concise and simple because you'll get bored otherwise. Any suggestions will be considered seriously. Mail to the usual.
Adaptability: HöL is unpredictable. If some weird shit that you didn't expect just happens, live with it. If it's cool, work with it and make it yours. If it sucks, destroy mercilessly with the twisted fruits of your own imagination. Everything I say in this guide is not scripture. You must be able to adapt to the unknown to successfully handle HöL. If the characters manage to actually best your big bad baddie, grin and let them win. Or beat the living shit out of them with someone even harder. You see - adapting can be fun!
Players: Without players, you can't play. Well... You can, but playing with yourself can lead to all sorts of problems. Let's not go too deeply into that here. You need players, like a god needs worshippers - the analogy is very similar. Choose your players carefully to fit with your own brand of play. Sure, everyone deep down is a deviant, but certain of your friends may not wish to display this aberrant behaviour in public. You also need to know what your players are like, in order to be able to tailor your style of torture just right.
Preliminary Goal: We're talking single adventures. What this means is that there is some specific end point to the adventure. This could be a particular goal that the players must achieve (a mission or quest!) possibly within a time limit imposed by the length of the gaming session. Or you could resort to the HöL standard of mass killing all of the players (or even their characters). Roughly decide on some goal, so that you have something to work towards. The players don't necessarily need to know what your goal is.
The Mood of your Game: The key to running HöL is humour. You've read the book(s). You know this. Sure, the humour's a bit sick, but then if you're planning on actually running a game of HöL, you mustn't be the nicest guy on your block. Your choice of players comes to a fore here. Are they violent sadistic combat wombats? Or are they deviant sick puppies who enjoy licking the genitals of child corpses? The better the game fits them, the more everyone will enjoy it. But do vary your style of play. Familiarity breeds boredom. In one game you may decide to explore the socio-political impact of the Church and Munch syndication in relation to a decline in morality in the strict imperialist government of the COW. In another you may decide to explore the internal organs of small mammals using blunt instruments. It's up to you.
Character Creation: You have several choices, each of which is outlined below...
Start the Story: You have players, each with a character of some kind, and a general idea of the mood of the game and how it might end. You should be able to see a way of starting the characters out together. A good fall back, if you're stuck, is to just have them dropped on HöL together, forcing them to help each other out of pure survival. They may have been picked up all from one place, or they may be completely mismatched, and just all bound for damnation on the same penal starship.
Adventure Events: You should also have some ideas for things to happen to the characters throughout the adventure. An adventure is a simple series of events, leading from one to the next, with some possibly pre-defined termination. Rather than ad-libbing the whole thing, it can help to have a few ideas in advance. These could be suggested by the backgrounds of the characters, the similarites or differences between them, or by the mood of the game itself. If you have an interest in a particular part of the setting, use it - but don't overdo your obsession.
Running the Game: Organisation. Get the players together for a long enough period of time to sort out characters as well as to play the game. You need somewhere to play. You will need paper and dice, depending on your style of play. Be sensible!
Things to be Wary of: Don't be boring - if your players lose interest, possibly through a lack of coherent action, then no one will enjoy themselves. Remedy this through wise preparation and be familiar with your settings and systems. Don't concentrate on single players - ignore a player for a while, and they lose interest again. In this vein, you're best not to "split the party" or play favourites with the players. Don't run the adventure for your benefit - the players want to enjoy themselves as well, and knowing that you're just going to kill them all for your own pleasure will make the game a tad dull for them. You should allow them to win occasionally (don't tell them I said that, though) and to pursue what interests them, but don't be too self-sacrificing either. Don't be predictable - "What? Another marauding horde of Sodomy Bikers? Ho-hum, let's do the usual." Variety is the spice of life, and adds a spark to death; there are few ways to be born, but oh so many ways to die.
An Example: To see a simple adventure that I wrote in the manner of this page, check out Playthings. It uses set characters, and a simple initial set up. The pre-HöL part is unimportant bumpf to bring together a mismatched set of misfits. The meat of the adventure is the mishaps that occur to the poor dumb fools. The goal is to see just how each one of them dies. A harmless bit of fun that can be stretched out as long as you like. If you do run it, I'd be interested to get some feedback.