Developing a measurement scale that would be valid and reliable is a challenging task in any research field. It takes time and reflection. This case study of mixed methods explains how we developed the concept and measurement scale of entrepreneurial openness—a personality characteristic that helps to understand the impact of an entrepreneur’s personality on a small firm’s performance. The case study describes several procedures that we applied in the scale development process: interdisciplinary literature review, interviews, focus group, pilot study, and two large-scale studies with questionnaires and data analysis for assessing measure’s reliability and validity. The reader gets to know the appropriate procedures and their sequence in the scale development process and the importance of the mixed-method approach in a scale development process. By applying the scale development guidelines presented in this case study, the reader will also be able to assess the appropriateness of scale development processes of existing measurement scales and develop a measurement scale on her own.