Vocalist (and tambourinist) Mark Dagley was a member of Boston art-punkers the Girls in the late '70s; their 7" single
The Elephant Man/
Jeffrey I Hear You is essential listening. I guess he moved to NYC after that, as the Hi·Sheriffs of Blue were a New York band.
Cold Chills was their second single, and was actually spread across two sides. When it was reissued by Jimboco Records, along with their
Ain't but Sweet 16 debut single, as a 12" EP, the song was presented as a single piece. So . . . I cheated. I own both the original single and the 12", so the cover here is the 7" but the song was ripped from the 12". I'm so evil!
After this single, they released a 12" EP that featured Elliott Sharp on guitar. They also appeared on some compilations and a split single, but I don't recall who was on the other side of it, and don't have time to go digging through my record collection.
The Abaton Book Company has been promising a Hi·Sheriffs of Blue CD for several years, but it has yet to see the light of the day. Feel free to contact them and complain.