The 19 year old, told BBC Radio Sheffield: "I wasn't expecting to go on so soon but we showed a lot of character.
"Now my focus is totally on playing more games for Sheffield Wednesday."
The England Under-21 international admitted life had been hectic since he first heard Sheffield Wednesday wanted to sign him on loan on Friday morning.
Wickham said: "I spoke to the gaffer [Sunderland manager Martin O'Neill] on Friday morning and he gave me confidence in the move - he said he wanted me to get match experience and games.
"I travelled down and then met the boys here on Saturday morning and then it was straight into the match.
"So I feel I've settled in already, especially after the game. I'd done a bit of jogging when I was told I was going on, and it was down to me to justify the faith being shown in me."