The England U21 international was initially lured away from the Stadium of Light on a month-long agreement and his stay at Hillsborough is due to come to an end after the trip to Leicester City on Saturday.
Sunderland have the option to recall him before that date, with it possible that Martin O'Neill will feel the need to bolster his attacking ranks.
Jones, though, is looking for Wickham to remain part of his plans, with the Owls boss of the opinion that the youngster will benefit greatly from regular game time in the Championship.
He said: "I would like to keep Connor definitely. I think he would like to stay. It will all depend on what Martin O'Neill feels about him.
"He has not played a lot of football over the last year and that eventually does catch up with you.
"He will have his ups and downs, but people forget his age. He is still a baby in footballing terms and if you are not playing week in, week out, then you are not learning as much. It is game time that gives you the experience. It is not training."
Jones added: "I think the kid has got an abundance of ability. It is just finding the switch which will enable him to go and push on for the rest of his career.
"I think at the moment it is hard work for him. He just needs to relax and play because he is a very, very good player."