The Elland Road men arrived in south London still smarting from Tuesday's 7-3 humbling by Nottingham Forest.
But McCormack's second-half strike, and a penalty save by Andy Lonergan 60 seconds later, helped banish those memories and secured Warnock's second win since he took charge.
Warnock says his side are playing for their futures ahead of a potential promotion push next season, but they are still not completely out of the picture this term.
McCormack struck from close range for his first goal in eight matches and Lonergan secured the points when he kept out Darius Henderson's spot-kick.
Matches between these two sides are rarely easy on the eye and this was no exception amid a hostile atmosphere created by two sets of fans with a distinct dislike of each other.
Robert Snodgrass set the tone for a tetchy affair in the opening seconds with a fierce challenge which left Jack Smith in a heap on the touchline, earning the Leeds skipper a booking.
The players went on to keep referee Lee Probert busy, with Andy Keogh and Darren O'Dea booked for one heated debate and Adam Clayton and Jimmy Abdou indulging in a spot of wrestling on the floor which went unpunished.
Harry Kane and Henderson went closest for Millwall in a forgettable first half, while McCormack was offside when he found the back of the Lions' net.
But Leeds improved after the break and a clever flick from Luciano Becchio put McCormack through, only for the striker to shoot too close to Lions keeper Maik Taylor.
Millwall were howling for penalty when James Henry tried to skip past McCormack and hit the deck, but instead Probert booked the winger for a dive.
Moments later Henry almost capitalised on a weak back header from Leeds' Paul Robinson but the visitors smuggled the ball away.
Leeds finally made the breakthrough in the 65th minute when Snodgrass raided down the right and crossed for McCormack to bundle the ball over the line.
Millwall were thrown a lifeline moments later when Alex Bruce felled Keogh inside the area.
Kane fired the loose ball into the net but Probert had already pointed to the spot, and Henderson's spot-kick was superbly turned away by Lonergan.
Millwall are still without a home win this year but skipper Paul Robinson had a late chance to snatch a point, only for his header to come back off the crossbar.