The Black Cats moved up to 14th with the 1-0 victory over Everton and O'Shea said that the manager has made sure that the players do not get complacent.
"The manager quietened everyone down afterwards to make everyone realise the job is not done," BBC Sport quotes O'Shea as saying. "We weren't allowed to enjoy the win against Newcastle.
"Paolo Di Canio has been fantastic. He wants total concentration. The players have taken to him because they realise he wants the team to grow with him."
Sunderland travel to Aston Villa next weekend.