Chris Taylor made a dream return to Millwall as he bagged the winner on his second 'debut' to keep The Lions firmly in the hunt for a Play-Off place.
Taylor, who enjoyed a successful spell at The Den during the 2012-13 campaign, penned an emergency loan deal with the club on Thursday and took just one minute and 35 seconds to make his mark, slamming the ball home from Steve Morison's inviting left-wing cross.
The Lions were excellent value for the three points against Nigel Adkins' Blades, showing rugged determination to really dig in and survive a second-half onslaught from the visitors.
Manager Neil Harris made two changes to the side that started at Swindon, with Joe Martin returning from suspension to fill the left-back slot and winger Taylor starting in place of Jed Wallace, whose loan spell was cut short this week when he was recalled by parent club Wolves.
Millwall came out of the traps flying and it took less than two minutes to break the deadlock thanks to Taylor's crisp close-range finish.
Whilst Sheffield United enjoyed a decent amount of possession thereafter in the opening half, they failed to test Jordan Archer in the home goal, with the keeper superbly protected by his back four.
Instead it was The Lions who could have added further goals to their tally in an entertaining opening 45 minutes, but squandered two one-one-ones.
The first came on 10 minutes with a move started by a crunching, cracking tackle by Ben Thompson in midfield. He in turn fed Taylor, whose perfectly weighted through ball split the visiting defence and put Gregory through on goal. Although the striker connected with the ball at full stretch, he steered his shot narrowly wide of the upright.
Martin had powered a header inches off target from a Ferguson free-kick before Morison then spurned a glorious opportunity to double The Lions' tally. Picking up a Jimmy Abdou through ball, Morison surged forward and looked odds-on to score, but keeper George Long sprinted off his line and blocked the forward's effort. The loose ball fell invitingly for Taylor 12 yards out, but he scooped the follow-up over the bar.
Neither side made any changes at the break, and for the opening quarter of an hour after the restart the pressure coming from the visitors was relentless. That in turn brought a reaction from the home fans, who really came into play to lift the team. The two worked in unison throughout a second-half, with any period of United pressure greeted by a deafening Monk Chant from the home fans.
Millwall's players, with midfield warrior Thompson outstanding, put their bodies on the line to make great defensive blocks as the visitors kept trying to find a way through and grab an equaliser.
Such was the defensive discipline of The Lions that The Blades were restricted to just one clear opportunity on goal when Billy Sharp's 76th-minute effort was heading towards the bottom corner, but Archer got down low to his left to push behind for a corner.
At the other end The Lions had a couple of chances to add a second goal; Taylor lashed over from 16 yards after Ferguson's corner had been half cleared and then keeper Long did superbly to tip Gregory's looping header over the bar from Ferguson's pinpoint delivery.
As the game entered the final minute Lions boss Harris brought on Ed Upson for Ferguson, who like Gregory, earned a standing ovation from the Den faithful as he left the field.
The six minutes of injury time were dealt with superbly by The Lions and they ran down the clock with supreme professionalism to secure three more precious points.
Millwall: Archer, Romeo, Martin, Beevers, Webster, Abdou, Thompson, Ferguson (Upson, 90+1mins), Gregory (O'Brien, 83mins), Morison, Taylor. Subs not used: Forde, Nelson, Williams, Edwards, Onyedinma.
Scorer: Taylor (2mins)
Sheffield United: Long, Brayford, Basham, Edgar, Baptiste (McEveley,49mins), Done, Cuvelier (Coutts, 68mins), Hammond, Flynn, Sharp, Sammon (Adams, 71mins). Subs not use: Howard, Kelly, Whiteman, Calvert-Lewin.
Bookings: Done (59mins), Basham (90+3mins)
Ref: O. Langford
Att: 11,175 (away 1,167)