Grayson steered Blackpool to the Championship via the play-offs in 2007 and took Leeds up automatically in 2010. He was tasked with making it a hat-trick when appointed by Terriers chairman Dean Hoyle as Lee Clark's replacement at the end of February.
"It is important that you learn from the experiences you have had - good or bad," Grayson told the club's official website. "As a manager or a player you have got to do the same things that you done throughout the course of the season.
"It's just another football match and the preparation that we go through will be no different. However, in the back of your minds is how important the game is and the significance that it could have upon the football club.
"We will keep things simple leading up to the game on the training field. We will probably head down to Wembley a day or so early, but we need to try and keep things as low key as possible."