Social studies of sexuality are among the fastest growing and most popular fields of social research. A taken-for-granted element of the current self-description of the field stresses its theoretical, as well as empirical, novelty. It is assumed that sociologists' interest in sexuality (and its peculiarities in modern societies) is recent and innovative. This essay shows how different methodological approaches to the study of sexuality have contributed to its (slow) growth as a sociology research field. Many will remember that the Kinsey reports are among the thirteen examples that John Madge included in his classical text on the development of methods of empirical research in sociology. The present work aims at discussing how sexuality was studied in the past by fixing a conceptual starting point with the Kinsey studies. Various examples of empirical research will be compared and discussed in order to understand how different methods can and have been used to approach the study of sexuality.