Many social scientists are interested in studying stereotypes and stereotyped reasoning. This interest often comes from a wish to contribute to creating a more just and equal society. However, when we as scholars study stereotypes and stereotyped reasoning, we risk reproducing and maybe even reinforcing these processes, and thereby harming individuals or groups of individuals. The debates of this ethical issue mainly take the form of general discussions of research ethics and of weighing the aim of the research against potential harm to participants. While these reflections are extremely important, there is a need for discussing how this ethical issue can be handled in practice. The aim of this article is to develop a set of practical guidelines for managing this ethical issue, based on the examination of ethically delicate moments experienced during an ethnographic study of the construction of health and risk identities among seventh-graders in Denmark. Three guiding principles are proposed: Develop an ethical sensibility in order to identify ethically delicate moments; consider ethics as well as methods when constructing and posing questions; more specifically, briefings and debriefings can be used to address ethical issues; and, finally, make participants reflect upon their opinions and answers.