All scenarios list a number of story banes: one or more dangers (thematic banes encountered regularly in the scenario) and usually some villains and/or henchmen.
First, set aside the dangers where everyone can easily read them. Next to them, set aside any villains or henchmen that list a proxy following the card name.
Then, make a story bane stack. Start with any villains, then add henchmen, starting from the beginning of the henchman list, until your stack has as many cards as you have locations. If a story bane is listed with a proxy, add the listed proxy to the stack instead of the set-aside card. If you go through the full list and your stack doesn’t have enough cards, add additional copies of the proxy for the henchman at the end of the list as needed; if there are multiple henchmen with proxies, alternate between them until you have enough cards.
For example, the scenario The Blood Vow lists the villain Kobold Sorceror and the henchmen Kobold Champion, Inferno Trap, and Kobold Hordes — Proxy A. If you have 6 locations, you’ll set aside the Kobold Hordes, then make a story bane stack of 6 cards: Kobold Sorcerer, Kobold Champion, Inferno Trap, and 3 copies of Proxy A. If you have 3 locations, you’ll make a stack of just the first 3, leaving Proxy A in the vault.
Shuffle the story bane stack and deal one card from it facedown to each location, then shuffle each location.