This case study reports my experiences of a PhD project applying the microgenetic approach to study changes in students' conceptual structures as they developed understanding of topics in physics. The microgenetic approach involves sampling (referring to the frequency of application of data collection probes) a phenomenon at a rate which is high compared to the rate of change of the phenomenon itself: a technique which can produce fine-grained descriptions of the processes of change. The study attempted to describe changes in five, 16- to 17-year-old physics students' conceptual structures related to dynamics and electricity. The students were interviewed once a week, for 22 sessions, using semi-structured interviews containing a number of different probes including concept inventories and concept maps. Researchers using the microgenetic approach must make a number of significant methodological decisions: the choice of sampling rate, the choice of identical or non-identical repeated probes, the use of qualitative or quantitative data collection approaches, and the selection of an appropriate duration of sampling. This article presents a discussion of these issues in the context of my PhD study and some of the challenges of microgenetic research are considered. The particular ethical issues raised by high-frequency data collection are discussed, as well as the practical problems of transcribing and analyzing large quantities of data. Although the microgenetic technique presents significant challenges for the researcher, it is a powerful technique for understanding change as it occurs. [This content is provided in the format of an e-book.]