I often take a look at Nicola Morgan's blog, which is highly recommended for all those writing, and trying to publish, novels. A few days ago she wrote a brilliant post about writing historical fiction which I think applies as much to short stories as to novels.
While the women's magazines mostly publish stories with a contemporary setting, they do take some set at least partly in the past. I've sold a couple of 'time-slip' stories - where my characters found themselves falling back in time for a few moments. I've also sold one which jumped between a historical plot and a contemporary one, the two stories unravelling side by side (and all in under 1000 words!) Nicola's advice about getting the dialogue right but not too dated, doing the research but not overloading your story with it, and ensuring your story is believable in the context in which it's set, is all just as important for short stories as it is for novels.
It's occurred to me it'd be worth knowing exactly which magazines will take historical fiction and which tend to shy away from it, so we can target our submissions. If anyone's got any ideas on this please add a comment here. I'll do some analysis of whatever magazines I have lying around at the moment as well.
Edited 27/1/10 to add this link which contains links to good sites for historical research.