While much has been said about the risks and safety issues experienced by female sex workers in India, there is a considerable dearth of information about the difficulties and problems that sex work researchers, especially female researchers, experience when navigating the highly political, ideological, and stigmatized environment of the Indian sex industry. As noted by scholars, there are several methodological and ethical issues involved with sex work research, such as privacy and confidentiality of the participants, representativeness of the sample, and informed consent. Yet, there has been reluctance among scholars to comment on their research process, especially with regard to how they deal with the protocols for research ethics when conducting social and behavioral epidemiological studies among female sex workers in India and elsewhere. Drawing on my 7 months of field-based ethnographic research with “flying” or non-brothel-based female sex workers in Kolkata, India, I provide in this article a reflexive account of the problems encountered in implementing the research process, particularly the ethical and safety issues involved in gaining access and acceptance into the sex industry and establishing contact and rapport with the participants. In doing so, it is my hope that future researchers can develop the knowledge necessary for the design of ethical and non-exploitative research projects with sex workers.