Wood arrived from Championship side Leeds United on Monday as Burnley broke their transfer record in a deal reportedly worth £15 million.
The 25-year-old New Zealand international signed a four-year contract at the Premier League outfit.
And Dyche wants his new striker to be like Neymar, who has not let his price tag weigh him down, having scored three goals in two matches since joining PSG in a €222 million deal.
"Neymar bagged a couple the other night, didn't he? He went for a couple of quid. He just got on with it," Dyche said.
"You remember when people used to ask, 'Is it hard carrying that price tag around?' That doesn't exist anymore, because everyone's got a massive price tag.
"Ten years ago, people used to say, 'He's signed for a record fee – it must be really hard.' Every player has a record fee now. You ring about any player and they go, '£20m.' Everyone is £20m. So everyone's got a price tag on their head.
"Twelve different clubs have broken their record this summer, because the market's saying you've got to. It's all changed. The psychology for players has changed. They can just get playing now."