Most sports visualizations rely on a combination of spatial, highly temporal, and user-centric data, making sports a challenging target for visualization. Emerging technologies, such as augmented and mixed reality (AR/XR), have brought exciting opportunities along with new challenges for sports visualization. We share our experience working with sports domain experts and present lessons learned from conducting visualization research in SportsXR. In our previous work, we have targeted different types of users in sports, including athletes, game analysts, and fans. Each user group has unique design constraints and requirements, such as obtaining real-time visual feedback in training, automating the low-level video analysis workflow, or personalizing embedded visualizations for live game data analysis. In this article, we synthesize our best practices and pitfalls we identified while working on SportsXR. We highlight lessons learned in working with sports domain experts in designing and evaluating sports visualizations and in working with emerging AR/XR technologies. We envision that sports visualization research will benefit the larger visualization community through its unique challenges and opportunities for immersive and situated analytics.