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The Lions picked up six precious points this week which has lifted Millwall out of the relegation zone. The thing Lee was most proud of was the strike partnership of ex-Sheffield Utd players Barry Hayles and Carl Asaba.
"The pair developed an understanding and looked pretty dangerous," said Lee. "Barry scored a goal from a set play we worked on in training yesterday and Asaba, who has had a bad time since he's been here in terms of fitness, scored a terrific goal.
"I've got full praise for my players. We didn't panic, played our football and played with a lot of composure at times. The way we approached the game was pleasing. The win at Wolves (in midweek) was terrific and this was always was going to be the harder test psychologically with the position both clubs are in."
However Owls manager Paul Sturrock felt the complete opposite: "I thought we were off the pace today. Our link-up play to the forwards was poor and our midfield was poor.We've just got to roll our sleeves up and make it better."
The Lions will hope to make to make it three League wins out of three against Cardif on Saturday at the Den.