The 48-year old has taken the reins at the Stadium of Light following the sacking of Paolo Di Canio and despite losing 3-1 to Liverpool on Sunday, O'Shea has indicated that he would like to see him remain in the role.
"He's been fantastic," he told Sky Sports.
"Everything is fairly straightforward. You know exactly where you lie with Bally and the players have enjoyed it.
"Hopefully that will continue but we'll wait and see."
Of the club's process in finding the right man, O'Shea added: "They are right to take their time. It is a very important appointment and there is an international break coming up as well so if they do decide to take their time, so be it.
"The players have to stand up as well and take that responsibility. We know it is a tough few months ahead."