Grayson praised his side's defensive performance but was unhappy with the way they used the ball at the New Den.
"I thought it was a good performance without possession of the ball," he said. "We worked hard, looked organised and were difficult to break down.
"With the ball, we possibly could have played a bit better, but it's a play-off semi-final, it's hurly burly with a hostile atmosphere and you're going to be on the back foot at times but I thought we defended ever so well.
"We know now what we've got to do. We've got 90 minutes to turn a 1-0 deficit into a positive for us and we've got players that are capable of doing that.
"We've got 37,000 at Elland Road on Thursday night, which is going to be some atmosphere and that isn't going to get us through the game but it will help."