In 1922 Fynes-Clinton refounded the Fraternity of Our Lady de Salve Regina. The fraternity's badge is shown in the stained glass window at the east end of the north wall of the church above the reredos of the Lady Chapel altar. He also erected a statue of Our Lady of Walsingham and arranged pilgrimages to the Norfolk shrine, where he was one of the founding guardians. In 1928 the journal of the Catholic League reported that St Magnus had presented a votive candle to the shrine at Walsingham "in token of our common Devotion and the mutual sympathy and prayers that are we hope a growing bond between the peaceful country shrine and the church in the heart of the hurrying City, from the Altar of which the Pilgrimages regularly start".