Glucose monitoring is key to the management of diabetes mellitus to maintain optimal glucose control whilst avoiding hypoglycemia. Non-invasive continuous glucose monitoring techniques have evolved considerably to replace finger prick testing, but still require sensor insertion. Physiological variables, such as heart rate and pulse pressure, change with blood glucose, especially during hypoglycemia, and could be used to predict hypoglycemia. To validate this approach, clinical studies that contemporaneously acquire physiological and continuous glucose variables are required. In this work, we provide insights from a clinical study undertaken to study the relationship between physiological variables obtained from a number of wearables and glucose levels. The clinical study included three screening tests to assess neuropathy and acquired data using wearable devices from 60 participants for four days. We highlight the challenges and provide recommendations to mitigate issues that may impact the validity of data capture to enable a valid interpretation of the outcomes.