The 22-year-old was the Yorkshire outfit's joint top-scorer with 11 goals.
O'Grady said: "I have come here to score more goals and it will be good for me to be working alongs ide strikers like Lee Hughes and Chris Davies.
"I am really excited about moving up a division and I know it will be right for me." He joins two other new boys, Manchester United's midfielder Kieran Lee and Gretna keeper Greg Fleming. Tweet

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Paul O'Grady would be a better signing!
Kiwi blue what have you got against the club? I suggest you get a life. The 3 signings so far are welcome signings to us true Oldham fans.
"OLDHAM4LIFE". That sounds like a punishment! Oldham are signing poor players and have been in decline for the last two seasons. There's only one way to reverse the decline. Bring back Ronnie Moore!
The punishment finished when kick and rush Ronnie Moore left. Now we have decent football being played at Boundary Park.
I come on here quite a lot, as a City fan, who used to live across the road from the ground, I used to go and watch Oldham quite a bit during the 1980's. Fell out with it a bit in the 90's when every man and his dog jumped on the bandwaggon. Started going again under Ritchie & through to Ronnie moore.
I cant understand for the life of me why Kiwi sticks up for Ronnie moore.
The guy was clueless & by the sounds of it so is the Sheep shearing blue!
Good luck to Sheridan, he was a top player for oldham & I wish him the best of luck
Oldham fans are worse than city fans for getting on peoples backs.
Give the guy a break.