Matt Derbyshire scored the game’s only goal, poking home a low cross from Lee Frecklington on 21 minutes.
The Owls then had a goal disallowed when Aiden McGeady’s shot deflected off Michael Turner, who was ruled offside.
Ross Wallace curled a shot onto the crossbar - with Lee Camp nowhere near it - just after half-time, and the hosts had another goal ruled out in the 60th minute when second-half substitute Lucas Joao unleashed a shot from range and Gary Hooper converted the rebound from an offside position.
Wednesday carried on pushing forward, but failed to create any clear-cut chances while Rotherham showed great determination and resilience to record a clean sheet.
Warnock said: “You don’t overcome your rivals every week, so it is special, because they aren’t a bad side. That makes it better for me.
“I thought we got it spot on tactically today, too. Other than the one they hit the bar with, I can’t remember anything too clear-cut for Camp to deal with. I thought we restricted their play and it will probably be their most difficult game for the rest of the season.
“I couldn’t fault any of my players; everyone from the goalkeeper right the way through. Both Wardys (Danny and Grant) did excellent for me, too. Danny created havoc up front and Grant was spot on - he gave us that outlet to give everyone a breather.
“Frecklington hasn’t played for months and months and he was absolutely shattered at the end.
“I thought it was an all-hands-on-deck performance. We were well organised and, to be honest, thoroughly deserved the win.”
Wednesday boss Carlos Carvalhal was disappointed with the scoreline, but not with his players’ efforts.
The Portuguese said: “It was frustrating we didn’t score of course. We expected to win the game, we prepared for the game to win and it’s a game that was a little strange for us.
“I’m disappointed in the result but not my players. From the first to last second, my players fought to try and win the game and 85 per cent of the time we played in the opposition half.
“It’s a day where we must put the ball inside the back of the net and we could not do that today.
“For the goal we had ruled out in the first half, to me it is not offside. There was one defender in line with him (Michael Turner) and that is why the referee gave it as a goal and the assistants didn’t give offside at first.
“But I don’t want to talk too much about referees. I love football and I just want to talk about football.”