It has been recently argued from a theoretical point of view that the interaction of some X-ray binary (XRB) jets with their environment will produce trails of radio emitting plasma as the system moves through the Milky Way. Only months later the first observational evidence for the scenario was likely found: a bow shock shaped nebula was detected in Halpha, most likely associated to the XRB SAX J1712.6-3739. In order to confirm (or refute) this association and, more generally, test the predictions of the theoretical model, we have initiated a multi-wavelength observational campaign on SAX J1712.6-3739. We have already submitted proposals to cover the X-ray (joint Chandra/XMM) and optical (VLT) bands. We request 1.4 GHz ATCA observations to for the first time detect and analyse the predicted radio jet plasma trails from an XRB. These data will both compliment those at other wavelengths and be essential in our attempt at studying this system.