The 23-year-old's future is still hanging in the balance amid ongoing contractual wrangling with the Gunners, with his current deal set to expire at the end of the season.
Arsene Wenger's side currently sit in fifth place in the Premier League with a game in hand over local rivals Tottenham in fourth, and with a trip to Walcott's old stomping ground St Mary's up next, the England international feels the club are starting to turn a corner.
|PREMIER LEAGUE LATEST
|5/1||Theo Walcott is 5/1 with Bet365 to score the first goal in an Arsenal win over Southampton on Tuesday
"We are looking to climb the table, take every game as it comes and we have another match on Tuesday.
"It will be a very tough occasion against Southampton, but it is one I am really looking forward to. I am probably going to wrap myself in bubble wrap for the next few days!
"It will be a very special moment for me and Alex [Oxlade-Chamberlain], and also for some of the fans to see us come back to the club."
Oxlade-Chamberlain was also keen to express his excitement about returning to the South coast.
"Really looking forward to going back to where it all began for me tomorrow," he tweeted. "So many amazing memories there!"
Walcott capped an impressive run of form in his preferred central striking position with a brilliant hat-trick in his side's 7-3 home victory over Newcastle, and afterwards admitted he was delighted with his performance.
"It was just end to end and that played into our hands," he added. "When we conceded a few sloppy goals you thought we may not be able to do it.
"If someone said beforehand that it would be 7-3 I would have just laughed, but it was an unbelievable spectacle and for it to be the last game of this year is something special.
"I am delighted [to get another hat trick]. For the first goal I managed to stay onside and Lukas played a great ball, and I opened up for the sort of finish that I am used to.
"The second one was a bit different. Out of all of the goals, that was probably the one I am most pleased with, as I had to turn in a short amount of time, not panic and put it into the top corner.
"The third was just like Chelsea [last season] what with falling over, getting up and chipping the keeper from such a tight angle. It was great, and me and Gibbo did something special [in celebration] after that."