The importance of studying sex as a biological variable in biomedical research is becoming increasingly apparent. There is a particular need in preclinical studies of addiction to include both sexes, as female animals are often excluded from studies, leaving large gaps in our knowledge of not only sex differences and potential prevention and treatment strategies but also with regard to the basic neurobiology of addiction. This review focuses on methodology that has been developed in preclinical studies to examine sex differences in the behavioral aspects and neurobiological mechanisms related to addiction across the full range of the addiction process, including initiation (acquisition), maintenance, escalation, withdrawal, relapse to drug seeking and treatment. This review also discusses strategic and technical issues that need to be considered when comparing females and males, including the role of ovarian hormones and how sex differences interact with other major vulnerability factors in addiction, such as impulsivity, compulsivity and age (adolescent versus adult). Novel treatments for addiction are also discussed, such as competing non-drug rewards, repurposed medications such as progesterone and treatment combinations. Practical aspects of conducting research comparing female and male animals are also considered. Making sex differences a point of examination requires additional effort and consideration; however, such studies are necessary given mounting evidence demonstrating that the addiction process occurs differently in males and females. These studies should lead to a better understanding of individual differences in the development of addiction and effective treatments for males and females.