The former Arsenal striker admitted that his team need to work on finishing teams off after watching his side miss a host of chances at Stadium mk.
"The first-half performance was really good but it was another one of those games where we created enough chances but didn't take them," he told the club's official website.
"And then the second half wasn't the best compared to how we did in the opening 45 and that's something we've got to work on now.
"We've got to take how we played at the start and apply it to the latter stages to get the consistency to finish teams off."
Wright went on to say that he is hoping his side can build on the victory when they take on Sheffield United in the league this weekend.
"It's important we build on the result though and I think we should still be confident. We've got a good game against Sheffield United on Saturday and it will be a great occasion," he added.
"There's a lot of confidence in the dressing room now and belief that our luck will change with regards to goals and I'm sure somebody will get a good hiding soon."