The striker, who made just one substitute appearance for the Lions this season, had his contract terminated on deadline day in order to move to the County Ground.
He told the Advertiser: "It was my first time at training (Wednesday) and it was something special.
"For me it was the first time I saw everyone playing and it was so nice. There were a lot of good players and the passing football is good.
"They play on the grass and that is football. We call it 'foot-ball' and they play football. The biggest teams in the world - Barcelona, Bayern Munich - they all play on the grass. They don't play in the air.
"It's football. When you've got the ball, you have to chase and if you don't chase, you get booed that's not good.
"I think at Millwall, I feel it was more about long ball and chasing the ball. When I saw it at Swindon, it was nice football and I am excited."