The 28-year-old midfielder could make his debut for the Lions in Saturday's Championship derby against Charlton Athletic at The Valley.
But the former Burnley man will be more excited about the opportunity he now has to play at Wembley in the FA Cup semi-final against Wigan next month, as well as the final on May 11 if Millwall defeat the Latics.
Chaplow made three starts in the Capital One Cup for Saints earlier this season but has had to settle for three appearances off the bench in the Premier League, the last of them coming in the 2-2 draw at Chelsea on January 16.
He began his career at Burnley before moving to West Brom for £1.5m in January 2005. He then joined Preston before signing for Southampton in January 2011.