Fraizer Campbell grabbed a brace as Cardiff swept into a two-goal lead before Bakary Sako reduced the deficit on 70.
The result strengthens their lead at the top of the Championship table to eight points and Mackay said: "It was never going to be easy here and I have never had an easy game at Wolves.
"They have players with Premiership quality and I was delighted with the way we played and controlled the game to get our three points.
"We knew that Wolves would throw caution to the wind after half-time and they did and I thought we handled that well.
"I was pleased with the way we saw the game out in the last 10 or 15 minutes."
As for Campbell's contribution, he added: "I am delighted that he has come in and hit the ground running in terms of the goals.
"He wasn't match-fit but he is beginning to get back up to speed now and him and Craig Bellamy are getting an understanding together."