A common goal of population genomics and molecular ecology is to reconstruct the demographic history of a species of interest. A pair of powerful tools based on the sequentially Markovian coalescent have been developed to infer past population sizes using genome sequences. These methods are most useful when sequences are available for only a limited number of genomes and when the aim is to study ancient demographic events. The results of these analyses can be difficult to interpret accurately, because doing so requires some understanding of their theoretical basis and of their sensitivity to confounding factors. In this practical review, we explain some of the key concepts underpinning the pairwise and multiple sequentially Markovian coalescent methods (PSMC and MSMC, respectively). We relate these concepts to the use and interpretation of these methods, and we explain how the choice of different parameter values by the user can affect the accuracy and precision of the inferences. Based on our survey of 100 PSMC studies and 30 MSMC studies, we describe how the two methods are used in practice. Readers of this article will become familiar with the principles, practice, and interpretation of the sequentially Markovian coalescent for inferring demographic history.