Just one win out of their opening 12 games left them firmly in the bottom four, but a club record of 10 straight wins - culminating in the Wembley success- saw them seal promotion to the Championship.
"I always had a degree of belief, but during that disappointing start to the season whether I felt it deep down is another thing," said Grayson.
"We always knew this was going to be a season of transition and we were still signing players during August, so it was always going to take time for the side to gel.
But I said back in September I believes if we kept going we would make the play-offs, which we did, and went on to round off our season with a fantastic performance and victory.
And we have also done it in the right way, by getting the ball down, passing it properly and playing football in the right way."
Robbie Williams and Keigan Parker scored the goals which sealed the win for the Lancashire side.