The vital goal came after 58 minutes when Sean Clohessy sent over a cross and Ryan Leonard reacted quickly to guide the ball home, via a deflection off O's defender Mathieu Baudry .
"I'm delighted that we've got a lead but I hope it doesn't cause complacency from our team because the second leg is going to be a difficult game," said Sturrock. "At the end of the day, they've got some exciting players that can hurt you and they are capable of scoring goals away from home."
He continued: "It was a difficult game against an in-form side and it was always going to be hard. We decided that we would play it nice and tight and hopefully get to half-time without conceding which we did. We had a couple of opportunities around their box as well.
"Smithy (Paul Smith) has shown what a quality goalkeeper he is, he pulled off a couple of decent saves and I thought that our back four were immense. We started the second half excellently and for the first half-hour, we put ourselves in the right areas."
Sturrock did, however, receive some distressing news concerning his midfielder Michael Timlin who was stretchered off 10 minutes from the end of normal time. He added: "Michael Timlin has got a suspected broken leg, it looks bad."
Orient manager Russell Slade admitted it had been a frustrating night for his side. He said: "We created enough on the evening to get ourselves a couple of goals but we didn't get anything.
"Now we trail going into the return and that will make life very difficult for us. The conditions weren't great but it's the same for both sides. It was a real cup tie, both teams were having a go but it wasn't easy in those conditions.
"Their keeper made some great saves, he was well worked and kept them in the game. David Mooney had a great chance towards the end when Moses Odubajo crossed the ball in and you would have fancied him topout the ball in given the recent form he's been in, but he's hit the crossbar.
"But there's still a lot to play for, it's only half-time. We are now the underdogs, Southend are at home and so I would think that the greater part of their job is done. I think it's far from over, there is still a lot of football still there. We are still well in the game, even if we are still trailing by that one goal with 15 minutes to go, you've seen that we still create chances."