Just before their final practice together, they presented Gretzky with a big baseball glove chair that he had admired after seeing a similar one in Yankees owner George Steinbrenner's office.
"I wasn't expecting any gifts, but this was great," said Gretzky.
In addition to the chair, Gretzky received a lifetime pass to major league baseball from the sport's chief operating officer, Paul Beeston.
As practice wound down, Rangers coach John Muckler jokingly suggested that Gretzky do extra down and backs exercise to stay in shape. The 38-year-old Gretzky laughed and declined but offered to lead the team in their final stretching exercises and all his teammates banged their sticks on the ice in salute.
After the exercise, winger Kevin Stevens suggested that the team gather for a photo dressed in their red and blue Statue of Liberty practice jerseys.
"I definitely want one final team picture tomorrow, with all of us in our game uniforms," said Gretzky.
"I told all the young guys to enjoy (tomorrow's game)," said Gretzky. "This is what it feels like to be in the Stanley Cup finals. This is how exciting it can be."
Many friends and family will be flying in to watch Gretzky's final game Sunday when the Rangers play the Pittsburgh Penguins at Madison Square Garden, including former Rangers and Edmonton Oilers teammate Mark Messier.
"I would love to score tomorrow," said Gretzky. "But if I get a hat-trick I'm not going to stay, and if I don't score it's not going to kill me either."