This study explored the information literacy practices of undergraduate students conducting research for their Honors theses in their final year of study. Data was collected from 11 Honors students during several months through four rounds of open-ended, journal-style questionnaires and two rounds of interviews. Honors students' sense of confidence varied throughout the thesis process, and several practices were identified that influenced students' sense of self-efficacy. This study suggests that instruction librarians can help to increase students' self-efficacy by modeling advanced research strategies, designing opportunities for students to practice challenging research tasks that build on previous skills, and addressing the affective and self-regulatory aspects of conducting higher-level research.