The 19-year-old has not featured for the senior side at all this season and as a result he has been linked with numerous clubs on temporary terms.
However, O'Neill has revealed that he will only give the matter some thought if the centre-forward puts in a request.
"If he came to me and asked me if I could afford to lose him for a month because he wanted to go out and get three or four games, I'd give it some consideration," said O'Neill.
"The fact is that he is playing at Under 21 level, so it is not lack of fitness that would concern me if he was put into the first team."
Wickham has scored one Premier League goal for the Black Cats.