The League Two outfit have already dumped out Rotherham United and Leeds United on their way to this stage of the competition.
He has since overseen five victories and four draws in his 11 games in charge and reports on Thursday claimed that he was close to being appointed permanent manager of the Hillsborough outfit.
Connor Wickham has also been key to their upturn in fortunes, scoring eight goals in Gray's tenure, but he is unavailable this weekend as part of the loan agreement that took him to Wednesday from Sunderland.
Another loan recruit, Damian Martinez, may get the nod in goal ahead of Chris Kirkland but apart from that, Gray is likely to stick with majority of the side that drew at Burnley, with Reda Johnson still sidelined.
Rochdale, who are currently second in League Two, are also enjoying good recent results and manager John Coleman will probably keep faith with the players that have got him this far in the competition, although centre-back Olly Lancashire could miss out with injury and therefore Rhys Bennett is on standby.
Scott Hogan and Ian Henderson, both goalscorers in the 2-0 win over Leeds in the third round, are both expected to feature from the beginning, but midfielder Gary Dicker will not be included in the Dale squad after joining Crawley Town on a deal until the end of the current campaign.
Sheff Wed: DWWDWD
Possible starting lineups
Rochdale: Lillis; Rafferty, Bennett, O'Connell, Vincenti, Lund, Allen, Done, Hogan; Bunney, Henderson
Sheff Wed: Martinez; Semedo, Onyewu, Loovens, Llera; Maghoma, Lee, Palmer, Helan; McGuire, Nuhiu
Sports Mole says: 1-2