The Owls agreed to offload the striker to their Yorkshire rivals last week following a protracted transfer saga.
It appeared at one stage as if O'Grady would be staying at Hillsborough, with Barnsley unable to strike a deal for player who impressed while on loan at Oakwell during the second half of the 2012/13 campaign.
Their persistence finally paid off, though, and they have added a proven marksman to their ranks - one who netted six times in 16 appearances last season to help the Tykes steer clear of relegation danger.
Wednesday, meanwhile, have freed up space in their squad and Jones believes he made the right call in allowing a fringe player to leave.
In response to a mixed reaction from Owls supporters to the sale, Jones said in the Sheffield Star: "Chris enjoyed his time at Barnsley and sees we are now moving in a different direction. That's football. For me to bring other players in, some have to go. We wish Chris all the best."
Jones claims he would have been unable to add Danny Pugh and Leroy Lita to his ranks in January if O'Grady had still been on his books.
He added: "Unfortunately, we had to let someone go to create more space on the wage bill. I had to sacrifice a player, which happened to be Chris.
"As far as I'm concerned, we did good business in letting one go to free up money to bring in a couple of players."