Although CCD instruments are now widely used in single-crystal diffraction, they have not been employed so extensively in crystallographic studies at high pressure. This paper describes some practical experience in the application of one CCD instrument, the Bruker - Nonius SMART APEX (a fixed-chi instrument). Centring a sample in a pressure cell is complicated by the restrictions on viewing the sample imposed by the body of the cell. The data collection strategy is defined by the requirements that (i) the incident beam must illuminate the sample and (ii) no more than 80% of the detector should be shaded by the body of the pressure cell. High-pressure diffraction images are contaminated by powder lines from the gasket and backing-disk materials, which form part of the pressure cell, and very intense spots from the diamond anvils. Procedures for the selection of spots for indexing are described. Integration routines attempt to harvest intensity data from regions of the detector that are shaded by the body of the pressure cell, and a procedure for generating dynamic masks is described. Shading also reduces the volume of reciprocal space that can be sampled, although this can be increased by performing data collections at more than one pressure-cell setting. Corrections for absorption are carried out in a two-stage procedure comprising an analytical correction for absorption by the cell, followed by a second multi-scan correction. Data sets collected at high pressure often contain some significant outliers; these can be identified during merging using a robust resistant weighting scheme, as described by Blessing [J. Appl. Cryst. (1997), 30, 421 - 426].