You can do this! Pursuing research in the history of mathematics with undergraduates is very possible and very rewarding. Tailor your project to your resources and your interests. You may not be close to the Library of Congress, but you are probably close to some major research library. Find out about private libraries and collections in your area. Use the Internet; learn about Google Books. Come up with questions you want to answer, and start investigating. You never know where it might lead you.