Undergraduate students in all disciplines sometimes struggle to see the connections between what they are leaning in the classroom and how it will be used in practice. Capstone courses, internships, and co-op experiences can help students bridge this gap by allowing students to put theory into practice on real-world projects and by connecting students to industry practices and partners. Although these experiences can better prepare students for their careers, they may also shield students from real-world risks, such as lack of product feasibility or viability, and from the non-technical tasks of business planning and start-up tasks, in order to make the academic aspects of the course manageable and scalable. In this work, we present our experience offering undergraduate Software Engineering students the opportunity to self-sponsor a year-long capstone project. Students began the course with four software product ideas, none of which had been assessed for feasibility or viability. During the academic year, students were responsible for product discovery, technology selection, and technical development following good Software Engineering practices. They also created business and marketing plans, and formed an LLC. This paper describes the processes, practices and timeline we followed for a student-sponsored capstone team. We also share our lessons learned and offer suggestions for including student-sponsored projects in a computing capstone course.