How do I make a good grimdark setting
A few basic things my DM does that works well as a starting point:
@ = Make most enemies human or at least humanoid. Killing a poor thief
should feel worse than killing a strange monster.
@ = Make actual monsters rare and dangerous. Keep their nature mysterious.
Never call a monster by it's name, describe it instead.
@ = There is no such thing as all good or all evil. Every person is able to do
good or evil deeds, most people consider themselves good people,
especially when they are not.
@ = = Make character choices morally grey. You can help this person do
something helpful, but they are a major drug lord, so you are also furthering
that cause.
DungeonCraft has a pretty good video on the subject called "10 Tips to Grimdark
Your D&D Game"