In 1955, Dunn was asked by Euan Lloyd of Warwick Films to compose the theme music for "The Cockleshell Heroes" (which was otherwise scored by John Addison). He appears as himself, conducting the Royal Marines, in the end titles of the 1966 film "Thunderbirds Are Go". For the latter, a cherry picker was used for filming, and Dunn insisted on being on the crane itself. But every time he started, the camera rocked. And as Dunn got more excited with the music, the camera rocked more and more to the point where the crew thought they were going to come off the crane, hence director David Lane had to ask Dunn if he could conduct from the floor instead.