The Northern Ireland international has now scored seven goals in his last five games and his latest double moved the Dons back to within five points of second-placed Preston.
MK Dons were ahead after just 81 seconds when Rob Hall tip-toed his way into a dangerous position and although Luke Daniels kept out his shot, Grigg was there to gobble up the rebound.
The hosts doubled their lead in double-quick time when Daniels clumsily brought down Dele Alli in the area and Grigg coolly scored his second from the penalty spot.
The rampant Dons continued to tear into their opponents with Daniels denying the impressive Lewis Baker after Grigg turned provider.
Daniels was to be called into action again before half-time by tipping a fantastic shot by Baker from 30 yards onto the crossbar before the Dons saw out an uneventful second half.