Last seasons play-off runners up look set to complete the deal later today after Grigg's representatives held discussions with Bees boss Uwe Rosler.
Should a deal be completed, Walsall will be entitled to compensation in the region of £3-500,000 after a possible tribunal.
Northern Ireland striker Grigg had been ever-present for The Saddlers last season, scoring 20 goals and is seen as a major part of the clubs recent return to form.