North End recently acquired the Welshman from Bolton with Wanderers manager Dougie Freedman admitting the 28-year-old, who had interested Burnley in January, was keen for regular football.
He has been granted that at Deepdale and scored for the second time in five appearances during the pulsating 3-3 draw against Rotherham on Tuesday night.
"He's a handful," Grayson acknowledged.
"He's big, he's strong, he's powerful and he's quick. He's got a good touch and he got a nice goal, hence why we bought him to the club. We knew he could be a handful for defenders in this division."
While some forwards might have shied away from the physical battle which the Millers' central-defensive partnership pose, Davies merely relished the task.
Grayson continued: "Claude Davis and (Kari) Arnason are decent defenders and were given a tough time by both him and Joe Garner. Once we got into our stride and way of playing we caused them a lot of problems."
Davies' arrival has also been beneficial to strike-partner Garner, who has added a further five strikes to his tally of 18 for the season.
North End's top scorer said: "He's a big boy. He puts himself about and he's obviously a top player.
"He's played at a higher level and I think we've got a lot of players in the team who think they can play at a higher level and, as a squad and as a team, we've got to try and get there."