The 18-year-old striker joined the Black Cats from Ipswich during the summer for an initial £8.1million, and so far has been restricted to five appearances as a substitute.
Wickham said: "Obviously, it's been quite frustrating. I just want to play football and when we are not doing so well, I feel and want to go on and show everyone what I can do and what I am capable of doing.
"But I have just got to do the best I can every time I get on to the pitch. I have got to do enough in those 15, 20, 35 minutes that I am capable of doing what I have done before.
"Every day and in every game, you need to do your best and when you do your best, it builds your confidence.
"Confidence is key to any footballer and I have got confidence at the moment, so I just want to be playing football."