The minor tics mxtics and mytics are also drawn but with the same format than the main tics. And that is a problem when you want to differentiate them. Your solution with the arrows did the trick but I found it easier to first draw the minor ticks and than overwrite them with arrows for the main ones. Tanks.
set style line 100 lt 2 lc rgb "blue" lw 1
set style line 101 lt 1 lc rgb "gray" lw 1
# first draw the minor tics
set xrange [0:1]
set mxtics 10
set yrange [0:1]
set mytics 5
set grid mxtics mytics ls 101
# then the main tics
dx=0.2 #grid spacing in x
set for [i=1:5] arrow from graph i*dx,graph 0 to graph i*dx,graph 1 nohead front ls 100
dy=0.2 #grid spacing in y
set for [i=1:5] arrow from graph 0,graph i*dy to graph 1,graph i*dy nohead front ls 100
plot sin(x)