As project management has become a critical subject in modern-world organisations, Operational Research (OR) needs to incorporate mechanisms to deal with rapid, unplanned changes as well as confusing information and stakeholders with conflicting values. Agile methods are widely used and tested in Software Engineering (SE) to deal with problems of the characteristics above. Because of this, after establishing that both OR interventions, as well as SE developments, have common stages and information evolution, this proposal aims to pose the challenge of applying agility to manage OR projects. Guidelines to adapt Agile Methodologies to OR are proposed, and a case vignette is studied as an initial test. Finally, future lines of work are considered to define how the larger project in which this proposal is embedded will continue.