The 20-year-old arrived in the summer from FC Copenhagen with a big reputation and a big price tag at £8million.
However, the young Dane - who suffered injury during pre-season - is yet to start a match for the club in the league and has been limited to just substitute appearances.
Despite his struggles, Mackay is happy to bide his time with Cornelius.
"He is here for the long-term. It's about him developing his awareness with the first-team," he told the Sunday Mirror.
"He was unlucky to suffer an injury but he was never going to be ready to hit the ground running.
"We paid a club record but £8million is not a lot for a striker in the Premier League.
"A striker who is ready to hit the ground running, like Roberto Soldado, would cost more than £20million."