How to find someone's grave?

My great great grandfather James Patrick McGee was born in 1891 in Jersey City New Jersey, but was orphaned and came to Wise County Texas on an orphan train. In 1922 his wife passed away, very young and he left my great grandfather and his sister with relatives and never came back. I found him on the 1930 census in Olney, Texas but haven't been able to find a death record or a grave for him there. I'm out of ideas until the 1940 census comes out. Any tips would be appreciated, and thanks Wendy C. for your help.