The Black Cats players this week offered to refund the cost of tickets for supporters who made the trip to Southampton last weekend and witnessed a humiliating 8-0 Barclays Premier League defeat.
However, the 33-year-old O'Shea knows victory against the Gunners would do even more to repair the damage.
He told the Journal: "Three points is the biggest thing we need to give everyone - fans, ourselves and the staff
Ultimately, you have to confine that to a one-off.
"Whatever team we were playing this weekend, we need to see what we had been seeing previously - intensity in our play, putting pressure on teams and stopping them playing.
"Arsenal are a good team, they'll have spells where they're going to have the ball
But we need to put them under pressure, particularly when they've got a few injuries at the back and a midweek Champions League game
Let's see if we can use that to our advantage.
"In terms of how the season had been going, that result was a big disappointment for the manager
Obviously he's spoken to us and that will remain in-house
But hopefully there'll be a reaction on Saturday and in the games coming up."
Head coach Gus Poyet and his squad tackled the grisly task of analysing just what went wrong at the St Mary's Stadium on Tuesday and ensuring it was a one-off.
O'Shea admitted: "It's been very raw
It's happened
You analyse everything and you have to make sure the level of intensity and tempo is maintained every week in the Premier League.
"It doesn't matter who you're playing against
We had maintained that up until Southampton
That was the disappointing aspect."
Source : PA
Source: PA