Sid:
I feel your pain! My previous grey Nelson would do the same or worse yet, he would pick a part of the cage to pluck at with his beak. I would sound like he was taking a small hammer to bang on she sheet metal of the cage. I would say to my wife that the "prisoner" wants out of his cell because it reminded me of an inmate banging the bars of his cell with a metal dish.
What to do? DO NOT re-enforce the behavior. If the bird ends up getting what he wants you are doomed Ignore it, don't react is all you can do. Nelson never completely stopped doing it, but it wasn't one of his common tantrum tactics. When your grey uses a more acceptable behavior to get attention, re-enforce it by giving it some attention.
Good luck - it takes time and patience. You have to train the bird rather than the bird training you.
Tom