There is ongoing interest in including grey literature in systematic reviews. Including grey literature can broaden the scope to more relevant studies, thereby providing a more complete view of available evidence. Searching for grey literature can be challenging despite greater access through the Internet, search engines and online bibliographic databases. There are a number of publications that list sources for finding grey literature in systematic reviews. However, there is scant information about how searches for grey literature are executed and how it is included in the review process. This level of detail is important to ensure that reviews follow explicit methodology to be systematic, transparent and reproducible. The purpose of this paper is to provide a detailed account of one systematic review team's experience in searching for grey literature and including it throughout the review. We provide a brief overview of grey literature before describing our search and review approach. We also discuss the benefits and challenges of including grey literature in our systematic review, as well as the strengths and limitations to our approach. Detailed information about incorporating grey literature in reviews is important in advancing methodology as review teams adapt and build upon the approaches described.