Striker McDonald scored his first Lions goal to secure a 1-0 win over Charlton on Saturday, Millwall's second straight victory.
It was a far cry from the previous weekend when fans were calling for manager Steve Lomas to be sacked following a 5-1 home defeat by Derby, their sixth game without a win.
"Performances at times have been good but we've not got the rewards and we've shot ourselves in the foot with the goals we've conceded," admitted McDonald.
"There's been an expectancy with the squad we've got. It's not quite happened so everyone starts panicking a little bit. There are probably six or seven new players here.
"It's hard for fans to be patient. We've got to keep believing and I think we're starting to turn a corner."