This paper describes the research challenges involved in measuring costs in economic evaluations of patients who are coping simultaneously with HIV/AIDS and co-occurring mental health and substance abuse disorders-especially in multi-site studies. We describe the general issues that arise in measuring costs for this population and suggest some operational solutions for their resolution, drawing from our experience in a recent multi-site health services research study focused on this population. We show that while reliance on patient self-report data may be unavoidable to provide a common denominator in multi-site studies, there are also some practical ways of improving the accuracy of such data and the cost estimates that result from them. We also provide readers with a means for securing the data collection instruments developed for the cost component of this study in the hope that these may serve as templates for researchers doing similar work.