The active control of exploratory movements is an integral part of active touch. We investigated and manipulated the relationship between the haptic discrimination performance for small bumps and the direction of exploratory movements relative to the body. Shape discrimination performance varied with the direction of stimulus exploration. Experimental manipulations successfully changed the normative relation between exploratory direction and discrimination performance. If participants were rewarded for “good perceptual performance” and had the choice, they displayed clear strategic preferences for exploratory directions that yield optimal performance—but only after having extensive experience with the changed perceptual conditions. Overall, the findings suggest that participants can actively adapt their exploratory movements in order to optimize haptic discrimination performance.