Rovers have improved considerably over the last three matches but the 1-0 win at Stadium:mk was the breakthrough result which ended a five game run of defeats.
And McSheffrey is confident they are capable of mounting a much more positive stretch of form.
“We needed a result and it’s a massive one,” he said.
“Personally and collectively, it was a big one.
“It’ll be good for their confidence because they know they’re putting the workrate in now. They know there’s been a shift in the training programme and what they’re doing at Cantley.
“They’ve got their first reward for it.
“But we can’t get complacent. It’s one win.
“We just need to keep building, doing what we’re doing, trying to be hard to beat and working hard.
“The luck will change and the results will take care of themselves.”
The Rovers boss insists the players were confident a change in fortunes was not far away.
And he is welcoming the opportunity to allow them to rest up this week ahead of an intensive run of fixtures.
“The players have sensed it coming and they know their performance levels have upped to a different gear,” he said.
“They’re buying into it, they’re working their socks off and they’re going to get fitter.
“It’s probably good we’ve got a free week before we go into a very busy February with eight games.
“We’ll get them recovered, get a good week’s training into them and get them to the levels again this week.”