Devices equipped with sensors to track mobility, such as through Global Position Systems (GPS) and accelerometery, are increasingly being used for research. Following Canadian, US, and International guidelines there is a need to give special consideration when conducting research with vulnerable populations. This paper examines specific ethical concerns for conducting research with mobile sensing devices for use by vulnerable populations, considering aspects of both research design and research process. Drawing on insights from feminist design and aligned fields, such as participatory design and action research, we contend that any research design and process for working with vulnerable populations must be developed in collaboration with the particular groups and communities who are part of the research. As part of this process of collaborative research, we discuss risks in terms of the lack of control over data associated with choosing commercial devices, as well as practicality and obtrusiveness of devices for the wearer. We also discuss the significance of informed consent and refusal and issues relating to security and safety during research. As part of the collaborative research design and process, we argue that participants should be given as much control over their data as possible. Based on this discussion, we provide recommendations for researchers to consider, which are broadly relevant for research using mobile sensing devices but particularly significant in relation to vulnerable populations.