The 20-year-old striker has hit eight goals in 10 games since joining the Owls on loan from Sunderland at the start of November.
Wickham is due to return to Wearside at the end of January, but he says he is relishing life at Hillsborough following the Yorkshire derby victory.
"I'm loving it," he told Sky Sports. "I said before that I wanted games, I'm getting games now and thankfully we've got a good team.
"We're creating chances, we scored six today and it could have been eight or nine. It's important that we got the three points and you can see what it means to the fans."
Asked if he would be extending his deal, Wickham said: "I want to play football and I've loved my time here.
"I've been here two-and-a-half months now, I'm playing football, scoring goals and that's what I always wanted to do.
"I'm thankful that I can repay the manager and the club that brought me here."
Caretaker boss Stuart Gray oversaw the 6-0 win over Leeds and Sky Bet Man of the Match, Kieran Lee, says he is optimistic of him getting the job on a permanent basis.
"He's got all the players' support so hopefully (he will get it)," he said.
Speaking of the result over Leeds, Lee added: "The scoreline is not too important but we came to get the three points and that's what we've done.
"The manager's come in and raised the lads' spirits a bit, changed a few things and confidence is high now which it wasn't before."