RX J0806.3‐1527 is thought to be a 321s orbital period (the shortest known) double white dwarf binary system. According to the double degenerate binary (DDB) scenario this source is expected to be one of the strongest Gravitational Wave (GW) emitter candidates. In the last years RX J0806.3‐1527 has been studied in great details, through multiwavelength observational campaigns. We present here the timing results obtained thanks to a 3.5‐year long optical monitoring campaign carried out by the Very Large Telescope (VLT) and the Telescopio Nazionale Galileo (TNG) which allowed us to unambiguously detect and study the orbital period derivative (spin‐up at a rate of ∼10−3s yr−1) of the 321s modulation based on phase coherent techniques, to detect the linear polarisation (at a level of about 2%), and to study the broad band energy spectrum. The VLT/TNG observational strategy we used allowed us, for the first time, to infer a P‐Ṗ coherent solution for the archival X‐ray observations over a 9.5 years baseline.