Level 1 Chaotic Smug Rogue
It's about whatever you want it to be about, and there isn't a right way.Often times I see them boil it down to fight the weird tentacle hentai monster or it's Cthulhu, who happens to be just Dagon's bitch in the lore. It's like they never read any of Lovecraft's short stories.
Cosmic Horror is more than just blood and guts. It's about the all-consuming dread that we are so small and insignificant in the universe that there are beings out there in the farthest reaches of the cosmos that could destroy us without even realizing it as we are nothing more than specs of dust to them.
Also what's with them trying to make them actually malevolent? The only purely evil being in the Lovecraft mythos is Nyarlathotep. The rest of them are really indifferent.
Maybe Lovecraft could work as a Dice RP... I mean it worked for the Tabletop Call of Cthulhu games... Just minus actually stating the old ones, outer gods, ect.
PS. Never EVER have Azathoth in your RP as an antagonist if you want to go full Lovecraft.