In the last two centuries, since the dawn of modern geology, heavy minerals have been used to investigate sediment provenance and for many other scientific or practical applications. Not always, however, with the correct approach. Difficulties are diverse, not just technical and related to the identification of tiny grains, but also procedural and conceptual. Even the definition of “heavy minerals” is elusive, and possibly impossible. Sampling is critical. In many environments (e.g., beaches), both absolute and relative heavy mineral abundances invariably increase or decrease locally to different degrees owing to hydraulic-sorting processes, so that samples close to "neutral composition" are hard to obtain. Several widely shared opinions are misleading. Choosing a narrow size-window for analysis leads to increased bias, not to increased accuracy or precision. Only point-counting provides real volume percentages, whereas grain-counting distorts results in favor of smaller minerals. This paper also briefly reviews the heavy mineral associations typically found in diverse plate-tectonic settings. A mineralogical assemblage, however, only reproduces the mineralogy of source rocks, which does not correlate univocally with the geodynamic setting in which those source rocks were formed and assembled. Moreover, it is affected by environmental bias, and by diagenetic bias on top in the case of ancient sandstones. One fruitful way to extract information on both provenance and sedimentological processes is to look for anomalies in mineralogical–textural relationships (e.g., denser minerals bigger than lower-density minerals; harder minerals better rounded than softer minerals; less durable minerals increasing with stratal age and stratigraphic depth). To minimize mistakes, it is necessary to invariably combine heavy mineral investigations with the petrographic analysis of bulk sand. Analysis of thin sections allows us to see also those source rocks that do not shed significant amounts of heavy minerals, such as limestone or granite, and helps us to assess heavy mineral concentration, the “outer” message carrying the key to decipher the “inner message” contained in the heavy mineral suite. The task becomes thorny indeed when dealing with samples with strong diagenetic overprint, which is, unfortunately, the case of most ancient sandstones. Diagenesis is the Moloch that devours all grains that are not chemically resistant, leaving a meager residue difficult or even impossible to interpret when diagenetic effects accumulate through multiple sedimentary cycles. We have conceived this friendly little handbook to help the student facing these problems, hoping that it may serve the purpose.