Darren Potter and Craig Davies fired the Championship side past the Latics on Tuesday night, but Sheridan insisted his side coped well with the visitors from the division above.
"It was a good test for us against a very good passing team and for an hour I thought we were the better team," he insisted.
"If we're going to go anywhere, that's what we've got to get used to week in, week out, and it's something we've got to get used to but I'm proud of the lads."