England forward Walcott came off the bench at the Amex Stadium to score a deflected goal with five minutes left which ended the challenge of the npower Championship side, who had twice drawn level after falling behind.
Arsenal will head into next Wednesday's home Barclays Premier League clash against Liverpool on the back of two confidence-boosting victories last week, which Walcott feels show Wenger's men can finish what has been a testing campaign on a high.
"I am very confident in the team, this team just needs to realise how good we actually are and not read into too many bad thoughts," Walcott said on talkSPORT.
"We have a very good team, very young and great on the eye at times.
"We can be cold at times as well, but we are starting to learn and we are starting to get back to our best."