Alf runs away, after overhearing a conversation that he thinks is about him, but is actually about a character on Dallas. Alf meets a hobo named Squinty McGinty. The two start riding the rails.
Meanwhile the Tanners have discovered Alf's goodbye note and Brian is heartbroken. In Las Vegas, Alf has won big by shooting dice. Celebrating with a feast, he regales Squinty with the tale of William Shumspeare, an ancestor of his. Squinty sleeps through the tale. Alf decides to stop running and return to the Tanners in style. He tries to double his money, but loses it all playing Bingo. Alf strikes out on the road, leaving Squinty in Las Vegas.
He decides to join a sideshow, and is billed as the Missing Link. However his first paycheck is extremely low, due to the owners deductions. He also finds out that instead of going to Los Angeles (LA) they are instead heading to Los Armadillo, Mexico. He tries to quit, but he has signed a contract. He responds by eating the contract out of the owners hands, getting him fired.
In a lucky break, a meat delivery has just arrived and he decides to mail himself back COD in a crate. Alf's arrival is great news and they sign with such enthusiasm that the delivery man thinks them cannibals.