Back when I worked as a research engineer we often followed the flow when we did testing - we would be looking for an answer to one question, but the testing pointed in a different direction, so we were soon off on a different quest. That is an effective technique if you have the time, money and equipment to do that. But keeping an open mind is always the most important part. And, accepting that you were wrong about something is another important part.

That latter point trips up even professional researchers. We get wedded to our great ideas and it is hard to "annul" the marriage when it is appropriate to do so. The natural tendency is to adjust our theory, do more testing, fudge some results, get mad at someone, but only at the very end actually accept that we were wrong.