Faning composed a comic "Savage Dance" (intermezzo) for orchestra, and he conducted it, dressed "in the garb of a savage", for The Savage Club entertainment at the Royal Albert Hall in July 1883.
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He enjoyed meetings of the Anthropological Society of South Australia, and belonged to the Bread and Cheese, and Savage clubs in Melbourne, but preferred the company of bush travellers, drovers and Aborigines, supplemented by correspondence which was delivered by camel-train until the late 1920s.