How to actually find the grain, since that is the practical half and nobody shows you.
Bend test. Hold the sheet and bend it gently into an arc one way without creasing, then the other. It bends more easily and with less resistance along the grain. This is the quickest and works on most weights.
Tear test. Tear a small piece off a corner in each direction. It tears straighter and more cleanly along the grain, and raggedly across it. Destructive but unambiguous, and the one I trust on unfamiliar stock.
Damp test. Wet a small strip on one side and it curls; the axis it curls around tells you the grain. Best for board, where bending is hard to judge.
On board specifically: greyboard and millboard both have grain and it matters just as much as in the paper. Suppliers often state it, and the sheet size convention usually tells you: the second number of the stated dimensions is conventionally the grain direction, but confirm rather than assume, because it is not universal.
When buying, the phrase you want is short grain or long grain relative to the sheet, and it is worth asking. Buying the wrong one means cutting your sheets the wasteful way to get the grain right, which is annoying but far better than the alternative.