We consider the natural definition of DLR measure in the setting of $sigma$-finite measures on countable Markov shifts. We prove that the set of DLR measures contains the set of conformal measures associated with Walters potentials. In the BIP case, or when the potential normalizes the Ruelles operator, we prove that the notions of DLR and conformal coincide. On the standard renewal shift, we study the problem of describing the cases when the set of the eigenmeasures jumps from finite to infinite measures when we consider high and low temperatures, respectively. For this particular shift, we prove that there always exist finite DLR measures, and we have an expression to the critical temperature for this volume-type phase transition, which occurs only for potentials with the infinite first variation.
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