Paolo Di Canio's men came firing out of the traps and deservedly took the lead through Stephane Sessegnon in the 27th minute before stunning second-half strikes from Adam Johnson and substitute David Vaughan sealed a memorable day for the Wearsiders.
But while O'Shea was quick to praise the efforts of the players, he was keen to stress they cannot afford to rest on their laurels as they are only three points clear of the relegation zone with five games still to play.
"It's a massive result but we've still got a lot of work to do," the Irishman said on Sky Sports News.
"It's a massive step up but we've got five more massive games to come.
"If we can perform like that and score goals like that, keep clean sheets then we're going to survive."