Veteran Southall was Forest's first arrival of the summer, and Megson is disappointed with the lack of activity so far.
Megson said: "There is no doubt that we need to bring players in.
"If the season started tomorrow we would be in trouble. There are a few things going on and I now think things are going to start picking up.
"I think that is pretty obvious because we have only got 17 players left from last season and the positions we need to fill should be obvious."