I managed to see my first sun dog a couple of days back, there was a nice halo on the sun and as I was watching a sun dog appeared to the left and after that was gone another showed up on the right hand side.
These were taken with the wifes P&S on auto but to be honest I'm not sure what settings one would use anyway.
Yep, the first one is great! Maybe see if you can clone out the distracting object on the right. It knocks the balance of the photo out, but I think if you crop it out you will lose too much of the picture.