This chapter discusses important challenges of designing the data collection setup for social media studies. It outlines how it is necessary to carefully think about which data to collect and to use, and to recognize the effects that a specific data collection approach may have on the types of analyses that can be carried out and the results that can be expected in a study. We will highlight important questions one should ask before setting up a data collection framework and relate them to the different options for accessing social media data. The chapter will mainly be illustrated with examples from studying Twitter and Facebook. A case study studying political communication around the 2013 elections in Germany should serve as a practical application scenario. In this case study we constructed several social media datasets based on different collection approaches, using data from Facebook and Twitter.