Think-aloud interviews with students can be used to detect specific misconceptions and understand how students reason about statistical questions. Data from think-aloud interviews can then be used to develop conceptual assessments, design new teaching strategies, or suggest further experiments to learn how students think about statistics. In this webinar, we will discuss the benefits of using think-aloud interviews to develop conceptual assessments and the experience we have had using think-aloud interviews in two introductory-level statistics courses.