The Molineux side are in the Championship's relegation places, having not won in their last 11 games.
Saunders told the club's website: "I'm in agony at the moment - it's my pride as well. I've never been sacked before and I'm not going to get sacked here.
"I'm enjoying the job but it's agony. I'm trying to put things right in a short space of time and it's not easy.
"I would have liked to have thought that we'd have a few wins and be up and running by now. You have to fight your way through it and find a solution."
Wolves face league leaders Cardiff City tomorrow.