Technological advances, such as virtual reality (VR) platforms, have created new mechanisms that can be used to enhance exposure-based treatments targeting anxiety and posttraumatic stress disorders. In tandem with rapidly changing technologies, researchers and clinicians must consider the methodological strengths and limitations of VR platforms. Similarly, the application of novel technologies in clinical research requires a re-examination of the core principles of research ethics (i.e., respect for persons, beneficence, and justice). Despite the complex methodological and ethical considerations associated with VR technology, limited guidance is available. This paper uses a pilot study examining the development of a mobile VR intervention for social anxiety disorder among student veterans to examine methodological and ethical decision points for researchers and clinicians interested in using VR technologies to treat psychological disorders. Specifically, this paper highlights the decision-making process used by a multidisciplinary research team to maximize data usability related to treatment outcomes and minimize risks to the participant.