Isgrove only joined Wednesday last week, but he was thrown into the first-team immediately and played 58 minutes against Rotherham.
He put in a decent display during the match, but Gray admits that the squad are still learning how to get the best out of the 22-year-old.
“It was a gamble to throw Lloyd into such a big game but I thought he did okay," Gray said.
“There were a couple of times where he created his own space and we didn’t give him the ball so we have to learn to play more to Lloyd’s strengths.
“I think once we get Lloyd settled in the fans will be pleased because he’s a winger who likes to dribble and run at defenders."
Most of the action actually happened whilst Isgrove was off the pitch, as Wednesday secured a dramatic win at the New York Stadium.
The Owls appeared to be heading towards a 2-1 defeat, but injury time goals from Atdhe Nuhiu and Kieran Lee meant that the three points returned to Hillsborough.
It was a big win for Wednesday over their Yorkshire rivals and Isgrove will be hoping that he keeps his place in the starting line-up for their next match.
That comes after the international break, against Huddersfield Town, and Gray will hope that the time on the training ground provides his Owls team the opportunity to learn the best way to utilise Isgrove.