Bury were then managed by former Huddersfield boss Neil Warnock, the man that signed Baldry to his first professional football contract in 1994. Despite being unsuccessful in again signing the player in 1998, Warnock always maintained a strong interest in Baldry and would again attempt to sign the player after becoming the manager of Sheffield United a year later. He would also try again in late 2000, offering the player guaranteed first team football and the number 11 shirt, before Baldry then signed extended terms on his contract with Huddersfield.