The Lions will travel to the Ricoh Arena on January 26th and Iain Dowie was in the Directors Box in the Main Stand at The Den and saw Millwall, without the suspended Richard Shaw took the lead in the 15th minute through Ben May.
Gary Alexander put The Lions further ahead four minutes after the restart following good work with Ben May to allow the former Leyton Orient player curled the ball into the net past former Sky Blue Clayton Ince.
Walsall, who took 212 supporters to South London had something to cheer when Alex Nicholls pulled one back on the hour mark. Millwall remained solid to win 2-1.
Don Hutchison played for Luton in a 5-0 defeat at Liverpool whilst Dion Dublin and Darren Huckerby played for Norwich in the shock of the night as the Canaries lost 2-1 to Bury.