Chris Morgan grabbed the winner after 81 minutes when he headed in Keith Gillespie's cross.
Palace's best chances fell to Clinton Morrison but he had a goal harshly disallowed for offside and also headed over from eight yards.
Palace had rested Andrew Johnson for the game with manager Iain Dowie not wanting to risk an injury to his star striker ahead of the two-legged encounter with Watford.
And, while Morrison had his side's best two chances of the match, Palace struggled for any form and will be hoping to improve before the first leg of play-off semi-final.
The party atmosphere did not make it easy at Bramall Lane with the home fans in celebratory mood as they looked ahead to Premiership football next season.
The first-half was a forgettable affair and, even though the urgency of the match picked up after the break, chances were few and far between before Morgan nodded in for the winner.
Crystal Palace manager Iain Dowie:
"There's a lot of confidence in the squad and we'll go into the Watford games believing in ourselves.
"It's never pleasing to get beaten, I thought we were comfortable for most of the game today.
"I thought we looked very strong and very powerful and it was just our final ball which let us down.
Sheff Utd: Kenny, Short (Lucketti 77), Morgan, Kozluk, Unsworth (Deane 84), Jagielka, Tonge, Gillespie, Armstrong, Shipperley (Akinbiyi 59), Webber.
Subs Not Used: Ifill, Geary.
Goals: Morgan 81.
Crystal Palace: Kiraly, Ward (Hudson 76), Popovic, Borrowdale, Fitz Hall (Butterfield 58), McAnuff, Watson, Soares, Reich, Freedman (Macken 66), Morrison.
Subs Not Used: Leigertwood, Speroni.
Booked: Popovic, Butterfield.
Ref: A Leake (Lancashire).
Play-off semi-final dates:
Leeds v Preston
(Elland Road, Friday, 5 May, 1945 BST)
Crystal Palace v Watford
(Selhurst Park, Saturday, 6 May, 1215 BST)
Preston v Leeds
(Deepdale, Monday, 8 May, 1945 BST)
Watford v Crystal Palace
(Vicarage Road, Tuesday 9 May, 1945 BST)
Play-off dates for other divisions to be confirmed