To complement traditional learning activities in a masters-level research methodology course, social work students worked on a formal research project which involved: designing the study, constructing measures, selecting a sampling strategy, collecting data, reducing and analyzing data, and finally interpreting and communicating the results. The final product was accepted in a respected, peer-reviewed journal. In the hopes of motivating social work educators to use active learning strategies when teaching research methods and to provide some pragmatic advice on how to do so, this article presents students' perceptions of involvement and lessons learned by the instructor. Through open- and closed-ended questions, students reported that involvement was meaningful, promoted understanding of research, strengthened relations among students, and made learning more exciting. Additionally, 41% of students reported that work on the project increased their interest in pursuing doctoral level work. Students also reported that engagement was time-consuming, stressful, and occasionally frustrating. Pragmatic suggestions about how to incorporate a formal research project with teaching are given based on experiences of the students and instructor. (Contains 1 table.)