Wickham has made three appearances deputising for the injury-hampered Steven Fletcher but has not scored in over a year.
"He's worked really hard and given his maximum on the training field and now his confidence is good," Sessegnon told the Sunderland Echo.
"I hope that he can continue in that way because, between now and the end of the season, we need everyone to give everything.
|11/4||Connor Wickham is 11/4 with William Hill to score anytime in Southampton v Sunderland
"Since he's come into the team, he's done very well. After he came onto the field against Manchester United, he played a big part in keeping hold of the ball and he was able to give a lot to us. It's good for him and for the team that he's found some form."
The Black Cats have won just one of their last six games and face fellow relegation strugglers Southampton on Saturday, who are just one point and one league place behind them.
"We have got another important match this weekend at Southampton," added the Benin international. "They are one of those teams in a similar position to us so we need to get something from the game.
"The spirit is still good in the squad though, as it has been all season.
"We must go to Southampton with confidence and try to take positives from the second half at United. We need lots of desire and aggression, while keeping our heads, and it's a game we can win, as we think in all games."