Upon her mother's death, the 16-year-old took a job in a department store demonstrating a speciality toothbrush and moved into a tiny flat in London's West End. At 18, she married Major John Graham Gillam (1884-1965), a decorated WWI officer, published author and eye-witness to the Gallipoli campaign of 1915-1916. Gillam travelled to New York in 1933; his wife followed in 1934 as indicated in her subsequent application for US citizenship. Sheila's daughter describes Gillam as "a kindly older man who proved impotent, went bankrupt, and looked the other way when she went out with other men." During this marriage, largely through the tutelage of her husband, she improved her speech and manners. She also enrolled in the Royal Academy of Dramatic Art, changed her name, and became a music hall dancer as a "Cochran's girl."