Megson also faces the task of trying to bring in a loan goalkeeper before Thursday’s deadline, with Nicky Weaver ruled out for at least four weeks by a groin injury.
The Owls, still 16th in the table, saw sound debuts by keeper Richard O’Donnell, aged 22, and loan centre halves Danny Batth and Rob Jones, and Megson acknowedged an increase in defensive stability.
But he said: “I would expect that; we’re going to need that. There’s no point in waffling on about positives. We’re in a battle to stop Wednesday going into the last flight in England, which is a shocking statement to make, but I think it needs to be made.
“We’re four points above the relegation zone. We have two games in hand [on fourth-from-bottom Walsall]; yes, we have a lot of games at home, but we’re not winning those.
“So people have to step up to the plate and start delivering. It is tough. We’ll find out about those players who can’t hack it. “I’m hoping that they’ll all have the responsibility and bravery, both physical and mental, to enable us to get points.
“We’re down there in among it - nobody’s fault but our own. We’ve got to roll our sleeves up. You’re not going to play champagne football. But you’re going to have to scrap, you’re going to have to battle.
“We’ve got to get over this phobia, if there is such a thing, about not getting results at Hillsborough, because that’s where most of our games are.”
Megson revealed that Weaver tore his groin last week: “He’ll be out for a minimum of four weeks, a maximum, hopefully, of six weeks.” Only seven weeks of the season remain.
No 2 Arron Jameson has been out for five games with a pelvic problem. Academy keeper Sean Cuff was on the bench on Saturday.
Megson said: “We’re left with only one senior goalkeeper, so we have to try to find somebody to come in.
“Nicky’s form has been ok; it’s disappointing to lose him, because he’s our senior goalkeeper. He’s a great lad, and he’s Wednesday through and through.”
But the Owls manager was very pleased with O’Donnell’s debut: “He did exceptionally well.”
Clinton Morrison’s absence from Saturday’s 18 was because of a back injury.