Both played the full 90 minutes as the Lions won a thriller 3-2 in injury time to set-up a home match against Bolton on February 18.
Harry, leading the line in a 4-3-3 system, provided assists for two of the three goals, including that late, late winner for Liam Feeney.
The young striker teed up Liam Trotter for the opener on 17 minutes.
Midfielder Ryan had a chance to double that lead but fired wide in the 34th minute.
The home side soon hit back through Adam Lallana and then took the lead with 15 minutes remaining via Ricky Lambert.
Undetered, Millwall levelled through Danny N'Guessan and then Harry set-up the winner, taking a quick free-kick to Feeney who drilled home the winner.
Meanwhile Yago Falque, currently on loan at Southampton and John Bostock, on loan at Sheffield Wednesday, who lost out to Blackpool in a replay last night, were cup-tied after featuring in our third round win against Cheltenham at the Lane.