Megson's side lost 2-1 to Brentford at the City Ground on Saturday, leaving the former European champions just one point above the relegation zone with six points from as many games.
And it left Megson knowing his side need to cut out stupid errors if they are to avoid another relegation battle.
He said: "We have conceded 10 goals in six games and we simply have to defend better than that.
"People keep talking about our lack of goals but we won't get the results we want while we are conceding goals at the rate that we have been doing.
"Defenders are there first and foremost to defend - not to start playing the ball on the edge of our box."