I'm sure you've got the answer to your question already but I'll chime in.
The above is correct. Elder Things and Shoggoths only appear in AT THE MOUNTAINS OF MADNESS which is one of HPL's "novellas".
Mi-go appear in WHISPERER IN THE DARK
Deep Ones in THE SHADOWS OVER INNSMOUTH
Ghouls appear in several stories but significantly in PICKMAN'S MODEL
The Great Race of Yith appears in A SHADOW OUT OF TIME
Cthulhu makes his one and only personal appearance CALL OF CTHULHU
The Brian Lumley's et al who took up the Cthulhu Mythos thread after HPL's death feature many of the original creations plus several new ones.
My favorite HPL story of all time is THE DUNWICH HORROR which has been made into two terrible movies. (Curiously both starring Dean Stockwell.) I think the consensus is the critter in that one is a DARK YOUNG.