The 404page plugin is the most used plugin to create a custom 404 error page in WordPress.
This video gives a quick overview over the Advanced Settings of this plugin. if you are new to the 404page plugin watch the introducing video first:
Plugin Homepage:
Download:
More detailed information about the Advanced Settings:
Force 404 error after loading page:
Disable URL autocorrection guessing:
Send an HTTP 410 error instead of HTTP 404 in case the requested object is in trash:
Compatibility Mode:
source