"We wanted to show everybody what we're capable of doing, and if we continue to play like that we're going to shock the world," Millsap said. "The sky's the limit for us.
"We're headed in the right direction. We're starting to figure out how to win."
Phoenix (8-15) hopes it's on track to do the same after ending a seven-game losing streak with a dramatic 82-80 win over Memphis on Wednesday.
Goran Dragic scored the last of his 12 points on a short hook shot with 0.5 seconds remaining to give the Suns their first victory since Nov. 27.
"It was a much needed win, obviously, for us and once again it was against a real quality team," said coach Alvin Gentry, whose team shot only 36.8 percent for its second-worst mark of the season. "I thought our defense was really, really good. We struggled offensively, but I thought our defense was really good. We did a good job."
"We lost every possible way you can -- close games, blowouts, bad teams, good teams, different ways, different lineups -- and sometimes you forget how to win," Dudley said. "Now we can start trying to get this thing rolling."
The Suns will look to do so by winning a fourth straight home meeting with the Jazz, who rank near the bottom of the West allowing an average of 103.3 points per game on the road, where they've lost nine of 13.
Utah, though, has won the previous two meetings, both in Salt Lake City. Jefferson is averaging 20.5 points and 11.2 rebounds in 21 career games versus Phoenix, marking the most points and second-most rebounds he averages against any team.
He had 27 points and 14 rebounds while Millsap added 18 and 13 to help beat the Suns 94-81 in the most recent matchup Nov. 10 without Williams, who sat out with a strained right adductor.
Luis Scola had 21 points and 11 boards and Dragic contributed 13 points and six assists for the Suns in that contest.