Theory is often said to follow practice. This chapter challenges this truism, by proposing that theory and practice are intricately interwoven into one another, in what Deleuze and Guattari would call a differential relation: not a dialectical alternation, each feeding into the next in a continuous process, but rather each continuously impinging affectively on the other. One place this is particularly evident is in jazz. Jazz musicians are also theorists. Their theorizing often proceeds at an embodied, paralinguistic level, which is frequently (and I suggest inaccurately) described as subconscious, but for which this chapter suggests an “affect methodology” for better understanding in terms of relations between human and non-human bodies and their histories. This methodology, as a robust form of artistic research, is essentially multiple and employs techniques like ethnography, narrative analysis, cartography and musicological analysis in creative conjunction to begin to develop a richer understanding of the relationship between theory and practice for constituting interactive jazz contexts.