Broadcast on 2 August, the session proved so popular that it resulted in two BBC releases, one a 4-track 12" and a later inclusion of 'Good And Gone' on an album sampler of Peel Sessions. In December of the same year, The Screaming Blue Messiahs appeared on The Old Grey Whistle Test on the BBC, playing two live songs: "Let's Go Down to the Woods And Pray" and "Good And Gone", and then undertook a short tour of the Netherlands. In January 1985, the band signed to WEA. The label re-released the mini-album "Good and Gone", and the band began work on "Gun Shy", their first full-length studio album, produced by Vic Maile. On 30 March 1985, BBC radio broadcast a live gig at the Paris Theatre in London. On 14 June, the Messiahs played their second BBC session, performing live versions of "Good and Gone", "Tracking the Dog" and "Talking Doll" for Andy Kershaw's show. In addition, the band extensively toured the UK, Finland, Belgium, Sweden, the Netherlands and Germany that year. The track 'Twin Cadillac Valentine", having been influenced from the Spencer Davis Group song "Strong Love", was released as the first single from "Gun Shy" in the autumn of 1985. Commenting on the song, Carter has said, "When we first went in the studio we didn't have anything, just the backing track. I was trying to get Kenny to play like on "I Can See For Miles". It's about girls...cars...love, attempted kidnapping and wide open spaces." The release of "Gun-Shy" in early 1986 was met by a generally positive reception by select music press: "Melody Maker" stated, "[t]hey have a gut instinct for the roots of blues and R 'n' B and from that sure base they can confidently blast their way through Bill Carter's extraordinarily powerful selection of songs". The NME opined that, "[o]n the strength of this album, I'd say the Messiahs are going to be very, very big indeed." To promote the album, the band embarked on another extensive tour of Germany, Finland, UK, USA—including a series of concerts supporting The Cramps—Australia and New Zealand. Two further singles, "Smash The Market Place" and "Wild Blue Yonder", were released from "Gun-Shy" in 1986. "Wild Blue Yonder" resurfaced in 2006 as the closing music of season 03, episode 04 of FX's "Rescue Me".