MEMPHIS, Tenn. Brek Shea Jersey . -- The Grizzlies know they have to stop blowing fourth-quarter leads. Consecutive overtime wins makes the needed corrections much easier for Memphis. Mike Conley scored five of his 20 points in overtime, and the Grizzlies beat the Oklahoma City Thunder 98-95 Thursday night to take a 2-1 lead in their first-round Western Conference series. "Obviously, were happy with the win but disappointed at the way we handled that last quarter," Conley said. "We knew they were going to make runs. We knew theyd keep fighting because thats what they do, and its the playoffs. Theyre going to make runs. Theyre going to make plays. They have two of the best players in the league." Still, the Grizzlies won their second straight overtime game this time after leading by 17 before going cold for most of the final 7:43 of regulation. Courtney Lee clinched the win, hitting three of four free throws in the final 10.9 seconds of OT. Game 4 is Saturday night in Memphis. The Thunder, who had the NBAs second-best record in the regular season, have to figure out how to shoot better against the team that ousted them in the conference semifinals in five games last year. "We just got to stay together, and we will do that," Oklahoma City coach Scott Brooks said. "Were down right now in the series 1-2, but just got to focus all of our attention after tomorrows review of the film together as a group and take it all to the next game and do our best to tie it up and take it home 2-2." NBA scoring champ Kevin Durant and Russell Westbrook each scored 30 for the Thunder, who even got another four-point play in the final minute to force overtime. This time, it was Westbrooks turn with 26.6 seconds left. But Durant missed all eight 3-point attempts and was 10 of 27. Westbrook was 9 of 26, though he grabbed 13 rebounds. The Thunder hit only 3 of 12 overall in overtime. "Kevin is really prideful," Brooks said. "He loves what he does and loves doing it with the guys that hes playing with. He was frustrated a few times with himself missing shots he normally makes in his sleep." Durant said they have to get easier shots and will figure it out for the next game. "Personally, I think we missed a lot of good looks, some open 3s, some lay-ins, some I wish I could take back," Durant said. Zach Randolph scored 16 points and had 10 rebounds for Memphis, which now has won 15 straight at home. Tony Allen, who scored 16 points for Memphis, gave the Thunder one final chance at an improbable play to keep the game alive. After Lee split his free throws with 1.7 seconds left, Westbrook was racing up the right sideline trying to get a shot off before the buzzer. Allen tripped Westbrook, sending him to the line for three attempts. Westbrook hit the first, missed the second and then clanked the third off the rim on purpose. But Ed Davis tipped away the ball to seal the win for Memphis. Marc Gasol scored 14 points for Memphis. Beno Udrih added 12 points, and Lee finished with 10. Serge Ibaka had 12 points for the Thunder, which went 5 of 28 beyond the arc. The Thunder trailed 81-64 in the fourth quarter. Then they scored 17 straight with Westbrooks 3-pointer in the left corner tying it up with 57.3 seconds left, and setting up yet another thrilling finish between these teams. "We got to be better down the stretch is the thing that sticks out," Allen said. Memphis couldnt protect its lead by going completely cold after a hook shot by Kosta Koufos with 7:43 left. The Grizzlies didnt score again until Allens baseline dunk with 57.3 seconds to go. He then scored on a layup after stealing the ball from Westbrook for an 85-81 lead. But Westbrook made up for his turnover on the next trip down the court. He hit a 3-pointer and dropped to the floor on a hard foul by Allen. His free throw tied it at 85 with 26.6 seconds left. Memphis tried to hold for the late shot, but Conleys one-handed layup clanked twice on the rim before rolling off. Durants 3-pointer for the win missed harmlessly off the backboard, sending these teams into their second straight overtime. In overtime, the Thunder took their first lead since 9-8 on a three-point play by Durant for an 88-85 lead. Notes: Mike Miller checked in with 1:06 left in the first quarter for his first playoff game in Memphis since May 1, 2006, in his first stint with the Grizzlies. ... Memphis last lost at home Feb. 5 to Dallas. ... Memphis now is 6-1 in overtime games against the Thunder since the start of the 2010-11 season. ... The Grizzlies went 10-4 in games decided by three points or less during the regular season. Kyle Beckerman Jersey . Future Hall of Famer Ricky Ray is in his prime and back for a third season in double blue. 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