O'Grady was introduced in the 58th minute of Saturday's Championship clash, which the Owls won 3-2 after a dramatic second-half comeback.
Winger Jermaine Johnson had given the home side an early lead before goals from James Henry and Liam Trotter put the Lions in front at half-time.
But Miguel Llera struck twice after the break to give the Hillsborough club their second league victory of the season.
O'Grady hit the post in the build-up to Llera's first of the afternoon and Jones felt the striker's energetic performance was the difference between the two teams.
"I thought for the first half an hour we were superb," he said afterwards. "But we took our foot off the gas and allowed them to come back into it.
"We gave away two sloppy goals and they went in 2-1 in front at half-time – and probably deservedly so.
"O'Grady coming on in the second half turned the game for us. He rattled them. It was a fantastic fightback and a fantastic three points.
"We didn't panic and we stayed calm. I told my players not to get frustrated or start hitting long balls and I can't fault any of them.
"I thought it was a good game overall. In the first-half Millwall tried to pass the ball around but we kept breaking on them and causing problems – that's what led to the first goal.
"It was all about the second half and how we approached it. We've got players who can change things. O'Grady started chasing their centre-backs down and suddenly things started to happen for us.
"We were a constant threat because we kept going and going and going. We weren't satisfied with a point; we went for all three and thankfully we got them."