The 21-year-old, who joined from West Brom earlier that day, netted twice and could have added to his tally as Nigel Pearson's men romped to a 6-1 victory over the Terriers.
Wood, who scored 11 goals in 19 games for Millwall during the first half of the season, took just six minutes to open his account with a close-range header before linking-up with strike partner David Nugent to double his tally 20 minutes later.
"I think this was probably the best debut I've had," Wood told the Leicester Mercury. "It's always nice to get on the scoresheet but, more importantly, we got the three points.
"I have come here to score goals and that's what I did and, hopefully, I can carry on doing that.
"Hopefully, I can keep scoring goals. There are no guarantees in football but I would like to think that I have the ability to score goals.
"We will see how it goes but it doesn't matter who scores, as long as we get the three points."
That emphatic win means Leicester are now just five points behind Hull in second place after the Tigers could only draw 0-0 at Blackpool.