You have probably come across it already, but "Last of the Day Hole Miners" by John Senior is great reference for the area. It covers the history of Hay Royds and would give you an idea of what was happening when your grandfather was employed there.
I can't speak for him, but RogerL on this site is usually a good source of info for the area.
Maybe someone with better knowledge than me on here could say what the requirements for the archiving of employment records for a private mine working under licence would have been? At least I think that's how Hay Royds was worked.
If there were no requirements, then maybe records would still be with the owners or in local council archives.