The vital goal came after 58 minutes when Sean Clohessy sent over a cross and Ryan Leonard reacted quickly to guide the ball home, via a deflection off O's defender Mathieu Baudry.
"I'm delighted that we've got a lead but I hope it doesn't cause complacency from our team because the second leg is going to be a difficult game," said Sturrock ahead of the second leg at Roots Hall in two weeks' time.
"At the end of the day, they've got some exciting players that can hurt you and they are capable of scoring goals away from home.
"It was a difficult game against an in-form side and it was always going to be hard. We decided that we would play it nice and tight and hopefully get to half-time without conceding which we did. We had a couple of opportunities around their box as well.
"Smithy (Paul Smith) has shown what a quality goalkeeper he is, he pulled off a couple of decent saves and I thought our back four were immense. We started the second half excellently and for the first half-hour, we put ourselves in the right areas."
The Shrimpers boss did, however, receive some distressing news concerning midfielder Michael Timlin, who was stretchered off 10 minutes from time.
"Michael has got a suspected broken leg, it looks bad," Sturrock added.
"It's really disappointing for the lad because he's been a stalwart for us. He wears his heart on his sleeve and I'm absolutely gutted for him."