The case study discusses how to do an ethnographic research of informal economic practices. It describes the implementation of ethnographic methods in the study of informal trade on the European Union external border between Lithuania and Belarus. Two features of informal economy make it a challenging research subject. On one hand, informal economy in a broad sense is dispersed over a myriad of taken-for-granted routinized daily practices and may be invisible for an external observer. On the other hand, informal economy is a sensitive topic as it often presupposes illicit aspects. As this case shows, the study of informal economic practices requires creative engagement with traditional ethnographic methods (participant observation, interviews) and their combination with methods from other disciplines such as history, for example. The author analyzes her first steps in ethnographic research and the strategies of building the chain of contacts in the unknown environment. She also gives experience-based advises on how to overcome the sense of frustration and hopelessness that frequently accompanies fieldwork.