Gray took charge after Laws and his assistant Russ Wilcox were sacked following the 2-0 loss to Scunthorpe.
"The pleasing thing is was what we did with the ball but from the view of a coach or manager it's what we did when we didn't have the ball, the effort and commitment," he said.
"On the back of the disappointment of Brian [Laws] and Russ [Wilcox] losing their jobs, then going 1-0 down, I thought the crowd was fantastic. They stayed with us and got the players going. Some of our play in the first half and the enjoyment of our play."
Micky Adams, sat in the opposing dugout, was also in charge of his side for the first time. He felt it was too soon for him to have any impact on the Blades.
"I've not had a lot of time. You've just got to roll with it and take advice off people, especially the coaching staff. I didn't even know the names of some of the players," he said. "You've seen some of our defending and I would like to think I can change that. I need time on the training ground."
David Unsworth completed the trio of managers taking charge of new teams on Saturday. He took charge of Preston North End in a caretaker capacity after Darren Ferguson was sacked, and was happy with his side's efforts despite losing 2-1 to Derby County.
"I got a massive response there. I asked for a game full of passion and desire, to get on the front foot and give me everything they've got, and they certainly did that," he said.
"The crowd were brilliant, and were with the team from the first minute to the end. I was a proud man despite the result."
The Leicester City left-back Greg Cunningham is unlikely to play again this season after breaking a leg in the 1-0 win over Hull City.
"It's a broken tibia, which could mean he is probably away for four months. He is in hospital right and I guess he will undergo an operation," said the Foxes manager Sven-Goran Eriksson.
"It is important to say that as far as Rosenior was concerned, it was not stupid. It was bad luck and he didn't mean to do it, so there should be no shadow over him. Cunningham is on loan at Leicester from Manchester City and is likely to return to his parent club for treatment.
Neil Warnock, the Queens Park Rangers manager, played down the importance of his side's 1-0 defeat at Norwich City. The London side remain four points clear at the top of the table, and have a game in hand of the chasing pack.
"There are 22 games to go and we are nicely placed. We have done really well so far but I still think this side can improve and hopefully that will be the case between now and the end of the season," he said.