diff --git a/doc/users/faq.rst b/doc/users/faq.rst
index b46e833..1efae3e 100644
--- a/doc/users/faq.rst
+++ b/doc/users/faq.rst
@@ -47,4 +47,8 @@ How can I select CMake options via the setup script?
 
 Like this::
 
-  $ python setup --cmake-options="-DTHIS_OPTION=ON -DTHAT_OPTION=OFF"
+  $ python setup --cmake-options='"-DTHIS_OPTION=ON -DTHAT_OPTION=OFF"'
+
+We use two sets of quotes because the shell swallows one set of them
+before passing the arguments to Python. If you do not use two sets
+of quotes then the setup command may end up incorrectly saved in `build/setup_command`.