Leeds will look to overturn a 1-0 deficit from Saturday's first leg of their semi-final clash against Millwall at the New Den and Grayson has warned the Londoners to prepare for a white-hot reception.
Grayson said: "If anybody thought that was an atmosphere, wait until we get to Elland Road with 37,000 in there!
"That alone isn't going to get us through, we've got to play better, but I'm confident we will turn it around."
Grayson added: "We said before the match that if we are still in the game we will have a good opportunity to turn it around on Thursday. We still are in the game. We didn't want to lose 3-0 and be out of the game, and we haven't. It's still all to play for."
Leeds lost 3-0 to Watford at the Millennium Stadium in the 2006 Championship play-off final and went down 1-0 to Doncaster at Wembley in last season's League One play-off final.