The first time Sherlock Holmes appeared in print was in the novel A Study in Scarlet. Dr. Watson devotes the first two chapters to an account of his meeting with Holmes, their decision to share a suite of rooms on Baker Street, and a very thorough description and analysis of Sherlock Holmes. In Chapter II you can find Watson's (i.e. Arthur Conan Doyle's) detailed description of Holmes' appearance, habits, interests, methods, conversation, and an assessment of his range of knowledge. You can't find a better critical analysis of Sherlock Holmes than in the second chapter of A Study in Scarlet. I suggest that you begin with that. Most of the stories and novels Doyle wrote about Holmes after that novel only give glimpses of Holmes' appearance, behavior, or other aspects of his characterization, seeming to rely on the reader's previous acquaintance with the great detective through A Study in Scarlet. You can quote Dr. Watson's narration in your own paper and perhaps add examples based on your own reading experience with the Sherlock Holmes tales.