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Between 2004 and 2006, we conducted a three-stage program of research with the aim of developing and validating a measure of Islamic practices and beliefs that could be utilized in mental health research. The outcome of these efforts was a Psychological Measure of Islamic Religiousness (PMIR) that possesses desirable psychometric properties. In this article, we describe the rationale behind developing the measure, the assumptions that guided our investigation, the challenges we faced in developing the PMIR, and the lessons we learned through this process. We offer several concrete suggestions to deal with the challenges that arise in psychological investigations of Muslims and Islam.