Wednesday were on top from the start and could have won by a bigger margin after creating a number of opportunities. Wickham, Maguire and Jacques Maghoma all had chances to score.
Blackpool's best chance came in the first half when Dan Gosling had a shot saved by Chris Kirkland and Roger Johnson's follow-up clearance rebounded off Tyler Blackett and struck a post. That was the only time that the home goal was seriously tested.
Gray said: "I was disappointed with our first-half performance. We didn't play at a high enough intensity. We dominated the second half, which was good. We were on the front foot and moved the ball early.
"If anything, we should have had more goals but the pleasing thing was the 2-0 win and the three points. I'm pleased that we kept a clean sheet and created a number of chances.
"Connor Wickham has a great habit of being in the right positions. W e're delighted that Sunderland have agreed to extend his stay here.
"Connor is a young lad who's getting valuable experience, playing at a good level. He's getting success and rewards for the hard work he's putting in.
"I enjoyed the second goal because there were two players fighting for it. Chris Maguire has come back in and done well in the last two games.
"He's set his standards now and he's got to keep them high."
Commenting on his own position, Gray added: "I'm just on a game-to-game basis so I imagine I will be preparing the team for Macclesfield (in the FA Cup third round). I'll carry on until I am told different."
Blackpool assistant manager Steve Thompson said: "We're very disappointed. If you don't take your chances, you're going to get punished.
"We had a good meeting after the game, where we had a heart-to-heart.
"We discussed a lot of things we need to improve on, such as decision-making on the ball. It was a constructive discussion and we'll get back on the training ground on Thursday and try and sort things out.
"Credit to Sheffield Wednesday who did well and played to their strengths. We've got big characters in there and we've got a big game against Bolton on Saturday so we'll dust them down and make sure that we're ready for that.
"I'm sure the manager and chairman will be sitting down to try and get the squad up to strength."