Gray, whose playing career with Nottingham Forest, Barnsley, Aston Villa and Southampton spanned 14 years, has never made it to the last eight of the competition as either a player or manager.
Only two members of his current squad have gone beyond the fifth round and Gray, 53, believes victory at this stage will allow them to start dreaming of an unlikely Wembley final.
"It's a big challenge," said the former Southampton and Northampton boss.
"Chris Powell will have Charlton well organised and they'll have 11 players who are thinking about the quarter-final of the FA Cup, a bit like our lads."
Gray has had stints as caretaker-boss at five different clubs - Aston Villa, Wolves, Burnley, Portsmouth and Wednesday - and after taking temporary charge at Hillsborough following Dave Jones' sacking in early December was not even on chairman Milan Mandaric's initial short-list.
But Gray has seized his chance and an eight-game unbeaten run finally convinced Mandaric to hand him the permanent job after Wednesday's 2-1 fourth-round win at Rochdale in late January.
The Owls stretched that unbeaten run to 11 matches before it was halted by Wigan on Tuesday night, leaving Gray to quickly turn his attention to some unfinished business in the cup.
"I said to the players straight away after the game on Tuesday, that's gone now, we've got to look forward and I asked the question: Has anybody been this far before in the FA Cup?" he said.
"There was only Glenn Loovens and Stephen McPhail, so it's a great challenge for the players with a great prize at the end of it - a quarter-final place."
Charlton have dropped into the bottom three of the Sky Bet Championship on the back of four straight league defeats, but Gray is wary of a backlash from Powell's side.
"There's no points at stake," he said. "So they will have a release, it's a game for them where all the pressure is off."
Wednesday have not reached the last eight since their top-flight days in 1997 when they lost 2-0 at home to Wimbledon, while their last Wembley appearance was in 1993.
The Owls played at Wembley on four occasions that year. They lost to Arsenal in the League Cup final, memorably beat city rivals Sheffield United at the old stadium in the semi-finals of the FA Cup and were edged out by Arsenal again after a replay in the final.
"You get to the quarter-finals and suddenly people start dreaming," added Gray.
"As you go further there's more media attention. We've had Football Focus and all you boys (the press) here for this game and it becomes a big media thing.
"I've never got to a quarter-final. I was brought up as a schoolboy watching the build-up on a Saturday and I thoroughly enjoy the atmosphere.
"The FA Cup is renowned worldwide, so hopefully the players can get a bit closer than I did in my playing career."