Composites of the industrially important polymer, poly(methyl methacrylate) (PMMA), were prepared by free-radical polymerization of MMA with varying amounts (1-30 wt. %) of sodium dioctylsulfosuccinate (Aerosol OT or AOT) surfactant added to the reaction mixture. The composites with AOT incorporated show enhanced resistance to thermal degradation compared to pure PMMA homopolymer, and micro-cone combustion calorimetry measurements also show that the composites are combustion-resistant. The physical properties of the polymers, particularly at low concentrations of surfactant, are not significantly modified by the incorporation of AOT, whereas the degradation is modified considerably for even the smallest concentration of AOT (1 wt. %). Structural analyses over very different lengthscales were performed. X-ray scattering was used to determine nm-scale structure, and scanning electron microscopy was used to determine μm-scale structure. Two self-assembled species were observed: Large phase-separated regions of AOT using electron microscopy and regions of hexagonally packed rods of AOT using X-ray scattering. Therefore, the combustion resistance is observed whenever AOT self-assembles. These results demonstrate a promising method of physically incorporating a small organic molecule to obtain a highly thermally stable and combustion-resistant material without significantly changing the properties of the polymer.