The 20-year-old, currently enjoying a second temporary stay in South Yorkshire following a spell last season, has scored four goals in his last five games after notching a double in Tuesday's impressive win over league leaders Leicester.
Wickham is set to head back to the Stadium of Light in January, but Gray, who is in temporary charge following Dave Jones' departure, hopes a deal can be struck to extend the youngster's stay.
"We were grateful that Sunderland allowed him to come back and he's a man now," he said. "He was a boy last season, but he's fitter, stronger and hungry for goals.
"He's not our player so we are always running the risk of him being called back by Sunderland, he has got a few goals in the last few games.
"He's benefitted from having a good pre-season, he is looking strong and Sheffield Wednesday are benefitting from that.
"He's our player on loan, at this moment in time it's just fingers crossed we can do something in January, let's hope they don't look at the scoresheet."