The 21-year old completed his switch from St Johnstone at the weekend but was unable to feature in Wednesday’s opening day 1-0 victory over Brighton.
However, the Scotland U21 international cannot wait to get started, beginning with the Capital One Cup clash against Notts County on Tuesday night.
May told Sky Sports News: “It was always going to be hard once you’ve played for a club so long but I think I’ve seen the bigger picture.
“I spoke to a few ex-players that have played in the Championship and it was an easy one in the end in terms of having to get down here and play in a league that is prestigious.
“The grounds in the league speak for itself and I just want to play at the highest level possible and I had to come down here to make that happen.
“I spoke to Steve Mclean, Rowan Vine and Patrick Craig - a few people who had been down here before and made their moves."
May netted 27 times for St Johnstone last term and believes he can continue to score goals in the Championship, adding: “I’m always confident that I can score, if I play a game and don’t score I will be asking questions.
“But I think first and foremost I just need to settle in and get to know the boys. There is a game on Tuesday night which is good because it’s always good to get straight into it.
“Working hard and getting into the team and seeing where that takes us at a personal level and as a club.
“It’s fair to say this club is massive, probably a Premier League club playing in the Championship."
Commenting on Wednesday's opening day victory against Brighton, May said: “It’s a great start for the club. Hopefully we can build on that and look up the league to see how far we can go.”
The highly-rated striker admitted he held talks with both Rotherham and Wednesday but after looking around both stadiums he felt at home at Hillsborough.
“I had permission to speak to Rotherham and Sheffield Wednesday, I don’t know about the Rangers link I think that has come out in the last few days but I don’t think there was any formal bids made their," he said.
“When I came down here I looked at both clubs and had a look around both stadiums and training grounds.
“On a personal level everyone had been telling me whatever feels right and Sheffield Wednesday felt right for me.
“I felt at home straight away looking around the stadium, it’s spectacular and I just can’t wait to get out there and start playing.”
When asked whether he hoped the move to England would enhance his International career with Scotland, the striker said: “I think that will come second, first of all my aim is to be successful here and if with that comes a Scotland cap or a call up then all the better.
“I’m currently in the Under-21 squad for these qualifiers but if it comes, it comes. I’m happy here playing football and it will be a bonus if it does come.
“Obviously it would be nice, you want to play at international level as well and if that happens I will be delighted.”