In recent years, we have been exploring ways to foster a closer collaboration between software engineering research and industry both to align our research with practical needs, and to increase awareness about the importance of research for innovation. This paper outlines our experience with three research projects conducted in collaboration with the industry. We examine the way we collaborated with our industry partners and describe the decisions that contributed to the effectiveness of the collaborations. We report on the lessons learned from our experience and illustrate the lessons using examples from the three projects. The lessons focus on the applications of Model-Driven Engineering (MDE), as all the three projects we draw on here were MDE projects. Our goal from structuring and sharing our experience is to contribute to a better understanding of how researchers and practitioners can collaborate more effectively and to gain more value from their collaborations.