Sheldon also attended the music institute in Montreux where he studied with Rudolf Kempe and organized the institute's first composer in residency with Alberto Ginastera.
Guest conducting engagements have included the BBC Symphony-London, Buffalo Symphony, Danish Radio Orchestra, Detroit Symphony, Honolulu Symphony, Jacksonville Symphony, Montreal Symphony, Oregon Symphony, Phoenix Symphony, Rochester Philharmonic, Spokane Symphony, St. Paul Chamber Orchestra, Tucson Symphony and the Utah Symphony.
Sheldon also conducted at the Spoleto Festival in Italy ("Don Pasquale") at the invitation of principal conductor Christopher Keene, and at the Spoleto Festival in Charleston where he led the first Festival Finale program at Middleton Place.
"The Spoleto Festival Orchestra, under the gifted baton of Gary Sheldon, executed the music with a finesse and intensity that equaled the best of Spoleto". William Furtwangler, Charleston Evening Post