The Iron have now won five and drawn two since Wilcox took charge following Brian Laws' departure, and they were comfortable victors here as a goal in each half from Deon Burton and David Syers sealed victory.
Wilcox said of Slocombe: "He's the best keeper in the league for me and he showed that.
"I thought we were outstanding and I'm a very proud man.
"Deon's got his goal again, that's four in four games from him, and I won't criticise him for the penalty. He was brave enough to step up to take it.
"The only people who miss penalties for me are those that don't take them.
"Our second-half performance was exceptional. The only disappointment to me is not being out of sight with the chances we had.
"I'm delighted with how we managed the period after the penalty."
Wilcox's side end 2013 level on points with table-topping Chesterfield, and he added: " We don't fear anyone at this level.
"It's not about one person. It's for others to judge what has improved.
"All I've done is try to get the players to enjoy their football, which they were doing earlier in the season too, to be fair. It's a good group.
"We've turned up in every single one of those seven games I've been here, we've got to make sure we turn up in the remaining 23 games.
"To come and win at the team that was second at the start of play is one we are going to enjoy for a while before we turn our attention to our next match against Rochdale."
For Oxford it was a second successive home defeat over the festive period and they slipped out of the automatic promotion places and down to fifth.
U's boss Chris Wilder said: "We didn't deserve anything from the game. We were second best all afternoon.
"It was by far and away our worst performance of the season.
"We came across an excellent team in great form.
"We gave away a poor goal to start with, and the second one was a mistake from us as well.
"We made poor decisions in every area of the game, in every area of the pitch, whereas they made good decisions everywhere, and they were a threat at the top of the pitch, and fully deserved their win.
"My players know a performance like this is unacceptable to me and unacceptable to the supporters; I don't want to see that again.
"I think we've undersold everybody. I don't think we've given it an unbelievable go, like we do in every match, and that is a big disappointment."