And the striker was gifted a second four minutes after the interval when Robins keeper Scott Brown misjudged an Andy Haworth cross, and palmed the ball invitingly into his path six yards from goal.
Defender Craig Dawson added a third seven minutes later, bundling in a Tom Kennedy free-kick at the back post.
Robins defender Michael Townsend capped a fine individual display with an injury-time consolation goal before O'Grady raced through to score Rochdale's fourth.
Blackburn loanee Haworth, a last minute call-up after Will Buckley was injured in the warm-up, failed to get on the scoresheet but made an impressive debut and hit the post after 17 minutes following a jinking run.
Source: Team Talk