Two goals from Fraizer Campbell saw Cardiff open up an eight-point gap over Watford and Hull with a game in hand on their two closest pursuers.
Cardiff, who withstood a late Wolves rally after Bakary Sako had pulled a goal back, had been beaten by Brighton in their previous game to end a nine-match unbeaten run and Mackay was pleased to see them bounce back immediately from that setback.
He said: "It was never going to be easy here and I have never had an easy game at Wolves.
"They have players with Premiership quality and I was delighted with the way that we played and controlled the game to get our three points.
"We knew that Wolves would throw caution to the wind after half-time and they did and I thought we handled that well. I was pleased with the way we saw the game out in the last 10 or 15 minutes."
Mackay was also pleased with the continued impact of Campbell after his arrival from Sunderland last month and he added: "I am delighted that he has come in and hit the ground running in terms of the goals.
"He wasn't match-fit but he is beginning to get back up to speed now and him and Craig Bellamy are getting an understanding together.
"He needed us and we needed him."