I've never seen a McGaugh connection in the family tree, but it's always possible a branch of the family came through with a slight name change.

As for searching, I search online for state and city archive information, cemetaries in the locations where ancestors lived, I even google their names to see what might pop up. Familysearch.org has some good information.
I'm assuming you are using Ancestry.com to search - I've had a lot of luck typing in information for the individual I am searching for then looking at associated family trees that seem to be a match, then contacting them to see if there is a connection.

I'll keep you in mind as I specifically search Arkansas and Oklahoma and let you know of other search options.