We describe a Bayesian/Maximum entropy (BME) procedure and software to construct a conformational ensemble of a biomolecular system by integrating molecular simulations and experimental data. First, an initial conformational ensemble is constructed using, for example, Molecular Dynamics or Monte Carlo simulations. Due to potential inaccuracies in the model and finite sampling effects, properties predicted from simulations may not agree with experimental data. In BME we use the experimental data to refine the simulation so that the new conformational ensemble has the following properties: (1) the calculated averages are close to the experimental values taking uncertainty into account and (2) it maximizes the relative Shannon entropy with respect to the original simulation ensemble. The output of this procedure is a set of optimized weights that can be used to calculate other properties and distributions of these. Here, we provide a practical guide on how to obtain and use such weights, how to choose adjustable parameters and discuss shortcomings of the method.