"Keeping a clean sheet is always positive. That's the base for winning leagues and doing so well in cup competitions," O'Shea told MUTV.
"If the defence keeps clean sheets, then nine times out of ten it will result in a win for us because of the attacking talent we have."
Sunday's three goals at Southampton in the FA Cup was United's highest domestic tally since putting five past Blackburn in the previous round of the Carling Cup on 3 December.
"I suppose we could have been more ruthless in the second half at Southampton and scored a few goals," O'Shea added.
"We have been creating lots of chances which is a positive but obviously the next step is to make sure you hit the target and score the goal.
"That's probably the next step we have to improve on a small bit."