The Scots staged a superb rally to recover from 12-9 down towards the end of the third period to claim a brief 13-12 lead with goals by Andrew Woodall (2), Alasdair Campbell and Mark Speed.
The game went to 14-14 before goals by Michael Thomas and Mark Banwell settled Cheltenham nerves and made the score 16-14. Chris Campbell added the final Caledonia goal six seconds from the end.
The Bristol-Lancaster clash was also decided in the final period. With four minutes to go, it was 8-8. Then the 'old firm' of Alex Parsonage and Tom Curwen scored vital goals to snatch a 10-8 lead for Lancaster. An Ashley Castle penalty reduced the gap near the end.