Simulations often involve the use of model parameters which are unknown or uncertain. For this reason, simulation experiments are often repeated for multiple combinations of parameter values, often iterating through parameter values lying on a fixed grid. However, the use of a discrete grid places limits on the dimension of the parameter space and creates the potential to miss important parameter combinations which fall in the gaps between grid points. Here we draw parallels with strategies for numerical integration and describe a Markov chain Monte-Carlo strategy for exploring parameter values. We illustrate the approach using examples from phylogenetics, archaeology, and epidemiology.