One thing I will strongly echo from RC's thread is that D&D has traditionally been very very bad at statting out fairies in a useful manner and anyone that wants to use fairies alot is going to need to be able to whip up their own unique fairies very very often.
That certainly matches my own experiences with gaming the fey, d20 style.
I guess I've generally gone about it in a rather
ad hoc manner, now I think about it. Which is why I'm hesitant to offer much advice, I guess. May as well try though... (with fair warning, that I might just ramble!

)
Perhaps it would be useful to determine the part you want "the fey" to play: A pretty/ugly/frightening/mysterious/entertaining/useful/confounding setpiece, purely for flavour? A more or less unified force, with some kind of general plan(s) or need(s)? Or, perhaps, individual beings with personal motivations? Just off the top of my head, kinda thing. I'm sure there are other approaches.
For example, if they are to be individual beings with personal motivations, thinking about said motivations could really help. In each case, is it... Curiosity? Love of games - what kind, and what if anything are the stakes? Fear - of what or whom? Sheer boredom? Vengeance - upon whom, and why? Out and out cruelty - is there a reason
per se, and if so, can that situation be remedied? Thirst for knowledge - can it ever be sated? Lust for power (see previous)? Greed - for what? Lust for something/someone else? Desire to help - and if so, is there likely to be a price, stated or otherwise? And so on.
Unified forces are of course, by and large, much easier to pin down. What do we have in this case... With or against the PCs, I suppose (could be undecided to begin with). Alliances with other forces out there (conflicts too). And, naturally, there's the plan(s) or need(s) - just what is it they want, or require... A deal, contract, accord? An item, necessary perhaps for peace, closure or "completing the set", whatever might follow from that? A prisoner of war (e.g., one of the fey nobility)? Land? Resources, mundane or otherwise? Destruction of mortal folk (and/or others)? Corruption or enslavement of same? Recognition/acceptance by mortal folk (and/or others)? A new world to inhabit; a place to go now that their own realm is gone/corrupted/fading/invaded/other? A means for some of them to live on in the mortal world, in whatever form(s), now that they're disappearing as a "race"? Victory in a war against some other kind of being (maybe another kind of fey, and then again maybe not)?
Nothing wrong with the setpiece approach to fey either, for sure. It can add lots of great flavour and a bit more depth to the world your characters dwell in. Quite authentic too, in a sense, if that's really what you're wanting. Celebrim has already pointed the way there. There are some good books on mythology and folklore out there, that might be informative. I believe one or two (or more) are mentioned in the thread I linked, above.
Of course, you can have setpieces speaking directly with PCs, if in a rather dreamlike fashion. Generally, this means the fey simply present whatever it is they're "programmed" to, so to speak, and that is that. Why do they do what they do? Well, they are the fey.

No more need be said, or indeed implied. They are simply forces of nature, means of communicating messages/hints/warnings, and suchlike. But here, I am stepping on Celebrim's toes, so... enough.
And yes, as I feared, I did end up rambling. Perhaps I'll come back to this, and make something more useful out of it. Hopefully...