It was a real smash and grab raid by the New Den outfit as Wolves dominated the game for long spells only to fail to convert their chances.
Millwall made the perfect start when Scott Dobie fired them ahead after just nine minutes.
It was an extra special strike for Dobie as it was his first goal for Millwall following his £750,000 move from West Brom last month.
Wolves could have moved seven places up the table to tenth if they had won.
But all they had to show for their efforts was a 56th minute penalty from Kevin Cooper that briefly put them back on level terms.
They had themselves to blame for the defeat as they created enough chances, especially in the first half, to have won comfortably.
But the finishing of Keith Andrews, Cooper and Seyi Olofinjana left a lot to be desired.
Dobie gave Millwall the ideal opening when he capitalised on good play by Barry Hayles.
Hayles whipped in a right-wing cross and Dobie ghosted in at the far post to push the ball home from four yards.
Wolves then laid siege to the Millwall goal only for Andrews, Cooper and Olofinjana to squander golden opportunities.
Having wasted so many chances it was no real surprise that Wolves needed a huge slice of luck to force their way back on to level terms.
Millwall skipper Darren Ward was harshly adjudged to have handled a cross from Cooper in the 56th minute but referee Trevor Kettle had no hesitation in pointing to the spot.
Cooper stepped forward and although his drive was half-saved by Andy Marshall, the ball slithered under his body and into the back of the net.
It looked good enough to rescue a point for Wolves but the impressive Hayles had other ideas when he delivered another right-wing cross 19 minutes from time.
This time his centre picked out Dichio and the former West Brom marksman made no mistake with a low drive from 12 yards for his fifth goal of the season.