Although there are many places to research, my preference is to begin with the churches, you may wish to begin with the well documented Monument to the Palatines containing the names of the families who arrived at Hudson's River in the fall of 1710. This monument was erected eight years ago on the grounds of St. Paul's Evangelical Lutheran Church in West Camp and dedicated by the Saugerties Historical Society on June 13, 1998.
The refuges made up of about one third each: Lutheran, Catholic, and Reform. So visiting the early settlement areas, and scouting for early church records may result in a successful search. However, know that the British governor forced the Catholic refugees to convert to Protestant before emigrating to the new colony of NY. And it is possible that a few followed the Anglican missionary, at the risk of being an outcast in the German community.
A researcher of Palatine ancestors may also wish to get their eyes on the translation of Rev. Kocherthal’s Records of St. Paul’s Evangelical Lutheran Church at West Camp: Volume I (1708-1843), but know that it is possible that a non Palatinate subject may be listed, since Kocherthal worked outside the community also. The translation was done in 1976 by Frederick S. Weiser.
Using the map above, here are a few good resources per county.
For a good reference on this County I suggest you peruse the History of the Little Nine Partners by Isaac Huntting gives a thorough overview of the churches and history of Pine Plains NY.