Gillespie, whose career was salvaged by United boss Warnock after he was freed by Leicester, struck in the first half but it was the England striker who had the last word with two coolly taken goals.
United carved out the early chances, Sheffield escaping in the ninth minute after Cristiano Ronaldo picked out Gary Neville lurking on the right flank. The England full-back burst inside and lashed in a low drive blocked by Paddy Kenny as he came off his line.
Neat work by Ronaldo caught out the Sheffield defence minutes later as the tricky winger fed Louis Saha, who cleverly stepped over the ball but there was no one behind to add the finishing touch.
Sheffield stunned the Old Trafford side in the 13th minute, Colin Kazim-Richards passing to Derek Geary on the left flank and his right-foot cross was met by former United winger Gillespie, who beat Edwin Van der Sar, his far-post header flashing across the face of the goal and into left hand corner.
United were almost level two minutes later, Kazim-Richards' blunder let in Neville, his low cross found Rooney whose stooping header was pushed round the post in spectacular fashion by Kenny.
The Sheffield side escaped on 26 minutes as United pressed for an equaliser. Rooney played the ball to Saha who went down in the area under a strong aerial challenge from Rob Kozluk. All United got was a booking for Ryan Giggs for dissent.
Saha and Giggs both had shots blocked before Rooney levelled matters in the 30th minute with the coolest of goals. Neville's precise cross was met by the England striker, who darted between Phil Jagielka and Claude Davis to stab the ball home from eight yards for his sixth of the season.
United pushed forward as they grabbed a stranglehold, the Bramall Lane side surviving another penalty appeal when Paul Scholes went down.
Top scorer Rob Hulse was handed a half chance after Geary headed back into the goalmouth, the ex-Leeds man turning quickly before flashing his shot on the turn high over the target, before some more trickery from Ronaldo found Saha, whose header from close range was deflected for a corner.
Phil Jagielka foiled Saha on 72 minutes as Giggs pumped in a low cross, the Blades centre-back sliding in with a last-ditch tackle to steer the ball away for a corner. Minutes later Kenny pulled off another stunning saving diving to push away a Giggs cross.
Rooney snatched his second in the 75th minute, Davis failed to cut out Patrice Evra's deep cross and the United striker volleyed past Kenny from the tightest of angles.
Ronaldo hit the bar in the dying minutes and Scholes had an overhead effort cleared off the line by Jagielka as United turned the screw.