Sandbox campaigns (nonlinear or plotless) aren't a good fit here, as there needs to events or mysteries for the investigators to, well, investigate. There needs to be a secret to uncover or a cult to thwart or similar. As the goal here is an ongoing campaign instead of a single adventure, there needs to be some sort of link between adventures. This can be as simple as receiving a new research assignment from the board that oversees your fellowship with no real connection to the previous job, or there can be a thread of common elements that lead the PCs on a progression from start to finish.
The latter certainly has an appeal from a narrative satisfaction point of view, but in my experience complex plots like that can quickly get off the rails. On the other hand, simply dropping the night's adventure in the party's laps can feel rather artificial and "rail-roady."
All aboard the Plot Train!
The mysteries at work in the background will react to the PCs as well. For example, if the bad guys' next step in their plan is to perform some ritual, but the party managed to capture a crucial relic last session. Obviously the cultists will need to get the relic back first.
I have in mind that the "forces of evil" in the campaign are working toward an ultimate goal that is achievable during play. It will be up to the PCs to stop them. Delta Green isn't charging up at the last second to save the day. Thwarting the bad guys will be possible, but not guaranteed and not without a cost. I usually like to give characters a shot at a "clean win," but this is Cthulhu, darn it!