The purpose of this article is to describe a modeling approach to help students develop a conceptual understanding of statistical significance levels, through discovery based on their own observations as they play the role of data detectives. I wish I could claim this clever idea as my own original thought, but in fact, Eckert (1994) outlined a similar activity. A few years later, Roxy Peck demonstrated a slightly different version of this activity in an Advanced Placement Statistics meeting. I have been using various versions of this modeling approach over the years, in my various statistics and quantitative inquiry courses at undergraduate and graduate levels.