The Whites have conceded 33 goals this season in just 19 games - the second worst in the league - and Gray knows that this is the first thing he will need to improve if he wants to boost the sides position in the Championship.
Fulham were turned over 4-1 in the same fixture last season and the new gaffer will be hoping to avoid a similar result.
He said: “You defend with 11 and you attack with 11, the way I set my teams up every one of them has a part to play, whether it be a centre forward coming back into the 18-yard box to defend a set play.
“The most important thing is we can’t keep leaking goals, we’re giving cheap goals away, especially when we are dominating the play, we need to get that first goal, but not just the first goal, the second goal too.
“I believe with this group of players they want to learn and they want to do it right and I've been very pleased with what I have seen.”
There is a lot of uncertainty surrounding Fulham at the moment as they struggle to appoint a number one who they believe is right for the job
But Gray is sure that this is not having a negative effect on the players.
The Whites coach said: “Players are players, one thing they do is they want to win games of football.
“They’re disappointed with their performances at this moment in time but we have had a great week’s training and we are confident ahead of tomorrow.
“It's a local derby tomorrow and it's bragging rights and the players will be up for it.
Managerial casualties 2015/16 in pictures:
“You can’t expect the crowd to give the players a lift, the players have to lift the crowd and we hope they will do that tomorrow.”
The men upstairs at Fulham are still on the hunt for a new number one but Gray is unaffected by the uncertainty of his predicament and will continue until told otherwise.
He said: “I'm in dialogue with the chairman, he's keeping me informed and at the end of the day I'm just doing it on a game-to-game basis
“With my knowledge and experience of the Championship I think that is why I have been brought on to give them a little bit of time to find the right guy to come in.
“I've been asked that about seven times in my career (whether I want to take on the role of manager), but my brief at the moment is just to focus on the game to game and get three points at Brentford.”