Sylvan-Ebanks Blake fired the hosts in front at Molineux, only for Tom Ince to snatch a brace and earn the Seasiders three points.
Saunders, who took over as manager in early January, said: "We have got to get away from the bottom. We have to get a couple of wins.
"It is a difficult job because it is a massive club and no-one expects the club to be where it is.
"Every game we are expected to win and the pressure is on. Our players have to show the mental strength to walk through disappointment.
"There are more downs than ups in football and the top players come back from the downs.
"We were on course for a win after scoring a brilliant goal but we gave them a goal right on half-time.
"It was a catastrophic mistake. Roger has to clear it or Carl has to dive on it and then Ince nips in and scores.
"We had a good patch at the start of the second half. But football is all about fine margins."