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When the Sox apparently were headed south, we placed a call Thursday to one whose ties to the team run deep. ”I feel bad,” Mary Frances Veeck said. ”I really do. There`s a strange melancholy about it. I can best describe it as a melancholy that permeates my being. That may sound dramatic, but it was part of our life at two different times. We all know that things change, and I live very much in the world the way it is. But it was such a part of our lives, really an extension of our home. We all spent time over there, one, because we liked and enjoyed baseball, and two, because I always felt we were together over there the way we were together at home. I`ve worked with words all my life, but I`m never real good expressing myself when something does mean a lot to me. You always get back to this very trite remark: No one can ever take your memories away.”

ON THE SPOT

You may have seen Herschel Walker and other bodies beautiful chatting with Oprah Winfrey Thursday, but here`s what went on before airtime. In a waiting room behind the set, panelist Susan Anton gazed in Walker`s direction and loudly observed: ”I see you got rid of Tony (Dorsett).”

AND THEN . . .

. . . As panelists held their breath (among them bodybuilder Lou Ferrigno, actress Emma Samms, model Kim Alexis and Playmate of the Year India Allen), Walker broke the awkward silence. He just laughed. . . . In case you missed the show, Walker told Winfrey he never lifts weights. When he joined the Cowboys, he said, coach Tom Landry and the coaching staff insisted he begin a lifting program. He refused, and they sent him to Dallas cardiologist Dr. Kenneth Cooper, the father of aerobics. Cooper tested Walker and was so astounded he performed the test three times. The running back had only 1.4 percent body fat. He may not lift, but Walker is no slouch. He does 3,500 situps and 1,500 pushups daily. For fun, he said.

CASE CLOSED

Here`s evidence that Jim McMahon truly plans to return to the Bears this fall. He has a new calendar coming out in August. In it, the QB is dressed in assorted outrageous attire, including a Santa Claus suit.

INFORMATION, PLEASE

Don`t think folks in Oklahoma don`t know Cubs baseball. Just ask Andre Dawson, who was grilled on the Oklahoma state cable network this week from a studio at Governors State University. Here are a few questions and Dawson`s replies:

– What about the way Don Zimmer handles relief pitchers? ”I think he`s doing a great job. During the last week he`s been managing every game like it`s the last game of the World Series, and before the All-Star Game you`ve got to do that to stay close. We feel anything can happen in the second half of the season.”

– Who`s the best shortstop in National League? ”I don`t think anyone is playing better than Shawon Dunston. Ozzie Smith had been the premier shortstop the last nine or 10 years, but Shawon has been magnificent this year. He`s made the big plays and gotten the job done at the plate. He`s got my vote not only for the All-Star team but for a Gold Glove.”

– Who`s the hardest pitcher you`ve ever faced? ”Nolan Ryan. But I`m having success against him lately. I guess the tide is starting to turn.”

– What goals did you set after your terrific first year with the Cubs?

”I didn`t have any goals last year. I decided I was going to relax and have fun again, and I dedicated the season to my grandmother, who had died. And I remember praying, `Lord, if it`s your will, I would like to go out and just have a good season.` And God knows, I had the best season of my career, so I`m not going to set any goals in 1988.”

NEWS, NOTES AND NONSENSE

Bears special teams coach Steve Kazor serves as grand marshal for the Vernon Hills 4th of July parade. We wonder: Will he kick a football to get the show on the road? . . . Speaking about kicking, former Bear Walter Payton may perform a kick or two when he joins an aerobics class open to the public Monday morning at 11 in Grant Park (Jackson and Columbus). Led by Bodyworks owner Debbie Ban, the class is being sponsored by Eli`s Light Cheesecake, which, we`re told, has a third fewer calories and half the fat. Since the superfit Payton is hawking the product, are we to surmise that all those retirement dinners are taking a toll? . . . Jack Nicklaus, designer of the course at Wynstone Golf Club in Lake Zurich, flies here Saturday to attend a groundbreaking ceremony for the clubhouse. . . . South Side author John Powers, whose play ”Do Black Patent Leather Shoes Really Reflect Up?” opened Thursday night at the Drury Lane Oak Brook Terrace, had his mind on the Sox before curtain time. ”The team should stay, but the owners should retire to Florida,” said Powers. ”I like Comiskey Park. It`s the perfect symbol of the South Side. It`s a factory without a roof.” . . . The results are in: Baskin- Robbins, which has been offering sundaes served in a mini-baseball helmet since April, has compiled the totals. With customers nationwide able to chose from all 26 teams, the ice-cream maker reports the Cubs lead all takers. The numbers: 124,800 folks chose to eat out of a Cubs hat; 27,560 folks picked another team in the majors.

And finally: A biography of skater Katarina Witt will soon be released-but only in the West. That`s because the East Germans don`t believe in the star system. The Olympic gold medalist is considered just a soldier in her country`s athletic army.