Los Blancos have been unable to match Barcelona in La Liga this season, with the Catalan giants currently 17 points clear of their fourth-placed Clasico rivals at the top of the table.
Sunday's 5-3 success at Real Betis made it four victories in the team's last five games in all competitions, however, and Vazquez has insisted that 'winning is the most important thing'.
"Winning the match is the most important thing and we must focus on this," Marca quotes Vazquez as saying. "We're in a good moment, we have scored a lot of goals recently and kept winning matches, which we continued in this difficult match.
"We knew we were under pressure at 2-1 and had to turn the game around, but we did and again this will help us gain confidence. We started the match strongly but Betis came back really well and that was tough for us, we were forced into bringing our best game but ultimately I think we deserved it."
Next up for Real Madrid is a trip to Leganes in the league on Wednesday afternoon.