Luciano Becchio, Jermaine Beckford and Robert Snodgrass were on target as United condemned the Cobblers to relegation, whilst securing home advantage in the second leg of the play-offs.
And although Grayson knows Millwall will provide stern resistance over two legs he is in confident mood.
He said: "There is a thin line between confidence and arrogance and we are not arrogant. We know there is a lot of hard work still to be done and the aim is to win three more matches.
"It is never easy going to Millwall, as we have to do for the first leg, but any manager will tell you he likes to have home advantage in the second leg.
"That advantage will only count if we do our job at Millwall."