The Saddlers lie four points shy of the top six with two games to go and must beat Bury while hoping Swindon and MK Dons slip up against Stevenage and Scunthorpe respectively in order to take the drama to the final day.
It is a situation far removed from Walsall's frantic escapes from relegation trouble over the past two seasons and Grigg feels the experience of dealing with that pressure can work to their advantage.
"It's the last few games of the season and we have got our business heads on," the 21-goal forward told the Express and Star.
"We know we're more than capable, we're at home on Saturday which is our fortress so we can take it into the final game.
"We have done it in the past two years, just at the other end of the table. If we're going into the last game needing to win we'll be happy with that."