In this paper, we propose a new preemptive scheme with release message in optical burst switching (OBS) networks. In the proposed scheme, when a low priority burst is preempted at some intermediate node, two RELEASE messages are sent immediately from the intermediate node to both source and destination nodes (two-way release message transmission), and the RELEASE messages release the corresponding wavelengths for the preempted burst. We consider six wavelength selection rules for the preemption and evaluate the performances of the selection rules by simulations. Numerical examples show that our scheme utilizes wavelengths effectively and, with the optimal selection rule, can decrease the burst loss probability in a large-scale DWDM network.