Dale started well and took the lead after nine minutes when Jones' drive was parried away by Tony Roberts but fell invitingly to Temitope Obadeyi, who netted his first goal for the club since signing on loan from Bolton.
But Dale's positive start was cancelled out within a minute as Nathan Stanton was caught in possession by Jon Nurse and he raced to the byline before crossing for Josh Scott to slide home from close range.
Scott went close to a second after the break, Frank Fielding saving well, while Chris Dagnall fired over for the top for Rochdale.
However Jones picked up a loose ball in a central position 25 yards from goal and thumped it past Tony Roberts to settle home nerves and O'Grady added the gloss with a third in time added on.
Source: Team Talk