Over the last decade, the popularity of Bayesian data analysis in the empirical sciences has greatly increased. This is partly due to the availability of WinBUGS, a free and flexible statistical software package that comes with an array of predefined functions and distributions, allowing users to build complex models with ease. For many applications in the psychological sciences, however, it is highly desirable to be able to define one's own distributions and functions. This functionality is available through the WinBUGS Development Interface (WBDev). This tutorial illustrates the use of WBDev by means of concrete examples, featuring the expectancy-valence model for risky behavior in decision making, and the shifted Wald distribution of response times in speeded choice.