Millwall's Paul Ifill weaved his way into the United area in the opening minutes but scuffed his shot from 15 yards before United almost found a way through, Tonge beating the wall with a stinging free-kick, fisted away by the diving Tony Warner.
Millwall, playing the tastier football, found a way through on 12 minutes, little midfielder Christophe Kinet finding the target from the edge of the area but the shot had little pace and Paddy Kenny easily collected.
Kinet caused problems with a fiercely driven cross cut out by the United keeper before Ifill squandered a half chance. United failed to clear and when the ball spun to Ifill he drilled a foot wide of the post.
Neil Harris found space on the right flank to fire in a low cross cut out by Kenny before the Sheffield side nearly found a way through.
Carl Asaba flicked the ball neatly into the feet of Phil Jagielka who dragged the ball wide of the far post from just inside the area.
But it was the London side who should have snatched the lead on 27 minutes when Harris crossed from the left only for defender Tim Cahill to head over from 10 yards.
Asaba produced an eye catching volley from 35 yards that dipped the wrong side of the target before breaking the deadlock in the 77th minute heading in Tonge's inch-perfect cross from the left.
Tonge finally got on the scoresheet six minutes later with a powerful right-foot effort from the edge of the area into the top right hand corner.
Ifill pulled one back for Millwall in the 89th minute running from midfield to finish with a shot from 20 yards, but it was substitute Peter Ndlovu who had the last word grabbing United's third in the dying seconds with a close-range strike.