He became a prominent figure in the weekly picketing of Our Lady's Roman Catholic Church in Harryville, Ballymena, which was organised in protest against the re-routing of Orange Order marches. However, he denied he was the central organiser. He admitted, "I have done a few press releases" and that he had taken part in the church pickets "maybe six times" over a 21-week period.". McCaughey said he sympathised with the aim of the Harryville protest, which was "to secure civil rights" for Orangemen in Dunloy. He later claimed that he had 'withdrawn from the protest because of a "witch hunt" against him by the nationalist media'. He was pictured wearing his Orange Order sash during one occasion at the protest. The Ulster Unionist Party MP Ken Maginnis had called for McCaughey to be returned to jail for his role in the Harryville protest.