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Information theoretic approaches and model averaging are increasing in popularity, but this approach can be difficult to apply to the realistic, complex models that typify many ecological and evolutionary analyses. This is especially true for those researchers without a formal background in information theory. Here, we highlight a number of practical obstacles to model averaging complex models. Although not meant to be an exhaustive review, we identify several important issues with tentative solutions where they exist (e.g. dealing with collinearity amongst predictors; how to compute model‐averaged parameters) and highlight areas for future research where solutions are not clear (e.g. when to use random intercepts or slopes; which information criteria to use when random factors are involved). We also provide a worked example of a mixed model analysis of inbreeding depression in a wild population. By …