Thanks for your replies. Now, here is what I've tried:
I consider the Lorentz transformation:
\bar{x}^{\mu} = \Lambda ^{\mu} _{\nu} x^{\nu}.
Differentiating i obtain:
\Lambda ^{\mu} _{\nu} = \frac{\partial \bar{x} ^{\mu}}{\partial x^{\nu}}.
Acting upon the transformation with the inverse transformation i obtain:
{\Lambda ^{\mu} _{\nu}}^{-1} \bar{x} ^{\mu} = x ^{\nu}.
Differentiating this i obtain:
{\Lambda ^{\mu} _{\nu} }^{-1} = \frac{\partial x^{\nu}}{\partial \bar{x}^{\mu}}.
The four-gradient of the scalar function \phi is:
\frac{\partial \phi}{\partial x^{\mu}}.
In a boosted frame this must be:
\frac {\partial \bar{\phi}}{ \partial \bar{x} ^{\mu}} = \frac{\partial \phi}{\partial \bar{x} ^{\mu}}
, since \phi is a scalar function.
Using the chain rule i obtain for the four-gradient in the boosted frame:
\frac{\partial \phi}{\partial \bar{x} ^{\mu}} = \frac{\partial \phi}{\partial x^{\nu}} \frac{\partial x ^{\nu}}{\partial \bar{x} ^{\mu}}.
And inserting the inverse transformation i get:
\frac{\partial \bar{\phi}}{\partial \bar{x}^{\mu}} = {\Lambda ^{\mu} _{\nu} }^{-1} \frac{\partial \phi}{\partial x ^{\nu}}.
This tells how the four-gradient of the scalar function transform under lorentz transformation. But I am not sure how this tells us that the four-gradient transforms like a covariant four vector. I guess I'm not confident with the whole covariant/contravariant concept.
As far as i know a contravariant four vector transforms the same way as:
x^ \mu = (ct, x, y, z)
And a covariant four vector transforms the same way as:
x_ \mu = (ct,-x,-y,-z)
(For the metric i use..).