Two goals by Jermaine Beckford earned Grayson's side three vital points against their fellow promotion hopefuls and afterwards the Elland Road boss was fulsome with his praise.
"That's three home wins on the bounce and a clean sheet. It was a big game and a big test for us. Millwall showed their quality but we matched them and were delighted with the win," he said.
Grayson has pledged to look at video evidence before taking any action against Beckford after he was involved in an apparent elbowing incident with Millwall goalkeeper David Forde.
Kenny Jackett, the Milllwall manager, expected Beckford to be punished.
Beckford was only booked by referee Alan Wiley after the offence had been pointed out to him by his assistant.
"I didn't see the offence but I've seen my goalkeeper's jaw and eye and they don't look good," said Jackett.
"He's got a fair bit of damage down the side of his face. Some key decisions just didn't go our way, but we didn't do enough and we need to score more goals."