Goals from Barry Bannan - a stunning first-time strike - and Tom Lees put the Owls in control, with Ryan Tunnicliffe pulling one back for Millwall, who were previously unbeaten.
Luhukay said: “It feels very good as it’s the first game we’ve won. I’m very proud of my team.
“In the first 30 minutes, we played very well. We lost a bit of control but then we got the second goal and we controlled the game.
“Millwall were very close to a second goal but the team fought to the last second of the game. The fans gave the team the inspiration and the motivation.
“You must work 100 per cent for a result and that’s what I saw from my players.
“Everyone from my team can be happy but we only have two days to recover. Two days is not so much and hopefully we’ll take the confidence into Saturday’s game.
“We have some important games coming up and we must focus on the game against Ipswich Town.”
Millwall manager Neil Harris said: “I’m really disappointed. We threw the game away in the first 60 minutes and we didn’t compete well enough.
“The first goal was a great strike but the second goal was a joke of a goal and we gave ourselves a mountain to climb.
“Those standards won’t be accepted and my words were quite scathing to the players. I let them know what I thought in no uncertain terms.
“Too many individual players didn’t play well and we didn’t get an end product. Our use of the ball in the first half was nothing short of childish.
“We have to do better - it’s not good enough. We created chances late on but it’s easy to play when you’re two-nil down.
“I’m the angriest I’ve been for a long time. We’re a good team but tonight we didn’t show it and I’m not prepared to accept that.”