"I feel great. I look forward to (the final round)," said Gay, who got his first PGA Tour victory at last year's Mayakoba Golf Classic in Mexico. "I just have to keep hitting good shots."
Former British Open winner Todd Hamilton (71) was at 205 and five-time Heritage winner Davis Love III (69) shared fifth place with Briny Baird (65) at 206.
Gay, 37, has strung together rounds of 67-66-67 to take only his third 54-hole lead on the PGA Tour.
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