The Glasgow Warrior had an outstanding game in only his seventh cap as Scotland crossed for three tries and Gray believes the visit of the Welsh team will provide another thriller.
Wales are still reeling from their 26-19 defeat to England in Cardiff and Gray admits Scotland have got to raise the bar.
"The guys played really well in Paris but we made mistakes that cost us so we will be fully focused on making sure these same errors do not happen against Wales," Gray said.
"We gave away too many simple turnovers and that's really frustrating. To score three tries in France is pretty exceptional but we want a few more against Wales.
"They were unlucky against England and they will be upset too at being beaten, so will come out at Murrayfield with all guns blazing.
"They enjoy throwing the ball about like France. You saw that against England and I am sure when they come up to Scotland they will be a bit more direct."