The Millers are back in the second tier and while they are at the bottom of the list in terms of money spent, they are at the top for goals scored from dead-ball situations.
Four of their five league goals have come from a first or second-phase set-piece, with no team scoring more in that way in the opening six games.
They have looked a threat from every corner, free-kick and long throw they have got and have defended them well at the other end.
While it may be reasonable to expect the Millers to struggle to compete in some areas in this division - such as possession and creating chances from open play - Warne says there is no reason why his team cannot be the best at set-pieces.
"In both penalty boxes it doesn't matter if you are a Â£6million player or a 60p player," he said.
"If you are determined to get on the end of the ball and the ball is in the right area then you have got a chance.
"If we are going to do well we are going to have to be a good set-piece team.
"In fairness Stoke and West Brom stayed in the Premier League for years because they were good on set-pieces.
"I think we are pretty good but they are only as good as the determination to attack it."
The Millers' chances of succeeding have been hit with the news that one of their biggest threats will spend two months in the treatment room.
Defender Sean Raggett was due to go under the knife on Monday on an ankle injury sustained in the defeat at Wigan.
But the Millers are expecting defender Semi Ajayi back from international duty in the next couple of days.
The 24-year-old made his senior debut for Nigeria on Saturday as the Super Eagles beat Seychelles 3-0 in their Africa Cup of Nations qualifier.
Ajayi came off the bench with 17 minutes to go.Â Â