Thanks to tsuwm's reference to Michael Quinon's page on shaggy dogs from this post:
http://wordsmith.org/board/showthreaded.pl?Cat=&Board=wordplay&Number=14808
I was able to make an earlier citation than that recorded in the OED for the phrase "shaggy dog story". This citation, the 1/14/43 daily strip of the Barnaby comic strip, has been forwarded to the OED by Mr. Quinon in my name and he has sent me their acknowledgement of my contribution.