The travelling Bantams were able to claim all three points late on Saturday afternoon courtesy of a Liam Kinsella own goal and Tuam-born Gaffney believes the Saddlers must cut out sloppy errors if they are to pick up more points in their bid to get their season back on track.
Gaffney, who has made three first-team appearances since joining from the Ammies a few weeks ago, also admitted that he was left frustrated after the defeat to the Bantams as his new side continued their run of winless games.
Speaking via the club's official website, Rory said; "It was disappointing in the end. We gave a good account of ourselves but we’ve been let down by a bit of sloppiness.
"We had plenty of shots and their keeper pulled off a couple of good saves but I think we were the better team. If you take away a sloppy error and us being a bit more clinical, we win that game."
29-year-old Gaffney has started the last two league games alongside summer signing Caolan Lavery and is starting to forge a good relationship with the former Sheffield United front-man.
Rory continued; "We definitely complimented each other well. Caolan’s a very hard working player and puts a shift in for the team so he’s the ideal man to play up front with.
"We’re making angles; we’re working hard for the team and if you get the ball, great, but if not you have to keep making those runs because it might create space for someone else."