Saturday's Scottish Communities League Cup semi-final defeat to 10-man Hearts on penalties was a body blow to a side which has surprised many this term by rocketing up the Clydesdale Bank Premier League to second spot.
That has put them firmly on course for a place in the Europa League next term, but the shootout reverse to John McGlynn's Gorgie men at Easter Road following a 1-1 draw will have dented their soaring confidence.
However, McKay - who passed up two gilt-edged chances to hand his side the initiative before the game went to a spot-kick decider - insists the disappointment will only fire them on to achieve the club's highest SPL finish and land a first assault on continental competition.
He told Press Association Sport: "We just need to use the pain of this defeat as a spur to finish off the season on a high.
"Every player wants to play as high as they can and Europe is one of the biggest stages you can play at.
"We have got a lot of games from now until the end of the season and a lot of hard work to do. That starts on Wednesday against St Mirren. We will be going there looking for the win, to keep our second-place position and to put us one step closer to Europe."