The Gunners head to the DW Stadium on the back of Monday's 5-2 win at Reading, which was a second successive league victory and made it only one defeat in the last six league outings.
Indeed, a maximum points haul against the injury-hit Latics would temporarily at least see Arsenal leapfrog Tottenham and Chelsea up into third place.
Wenger said: "We had a good result against West Brom, a good result at Reading, so it is important to show continuity now."
Despite Wigan having slipped down into the bottom three after last week's 2-1 defeat at Norwich made it five losses from seven, Wenger remains impressed by the work of Roberto Martinez and his cosmopolitan squad - with Honduras midfielder Roger Espinoza set to join in January after the end of his contract with Major League Soccer side Sporting Kansas City.
"Wigan always have good players, technically talented players and they're scouting countries where nobody else goes," the Arsenal manager said.
"They have for me an intelligent idea - they say 'if we go to France or Germany, we face Arsenal and Manchester City, so lets go to countries where nobody goes'.
"There must be a good player in every country and usually they find him. They have done that very well."
Lukas Podolski netted his eighth goal with a well-taken strike at Reading.
The German forward has called on his team-mates to reproduce their form at the Madejski Stadium on a regular basis and stop throwing away "stupid points."
Podolski said on Arsenal Player: "First place is (now) very tough, but the season is long and when we fight, play our game and do not lose stupid points, I think we can go for the top four.
"We lost a lot of points where we did not play well - but still we are only two points from third place.
"When we play like we did at Reading, this is very important. we want the next three points again."
Podolski joined Arsenal in the summer from Cologne in an £11million deal.
The Polish-born frontman, 27, has been deployed down the left flank by Wenger, and is happy enough with his contributions over the first six months of his stay at Emirates Stadium.
"It has been good. I feel I have done well, but the season does not stop now, we still have a lot of matches," he said.
"Hopefully I will score more goals, make more assists and do more for the club."
While talks continue over a contract extension for Theo Walcott, British quintet Jack Wilshere, Carl Jenkinson, Aaron Ramsey, Kieran Gibbs and Alex Oxlade-Chamberlain all penned new long-term deals this week.
Wenger's own future has comeback onto the agenda following a difficult spell, which included a shock Capital One Cup defeat on penalties at Bradford.
However, the Arsenal manager insists it is all about the here and now, not whether he will remain in charge for the duration of the young players' time with the club.
"I cannot give them that insurance because that decision does not depend on me," he said.
"The insurance I give them is the club has faith in them and at the moment I decide the technical policy of the club, and I believe it is important that the club has these players for a longer period."
On his own long-term plans, Wenger remained ever coy. He added: "At the moment, I envisage to do well this season and as I always do to respect my full commitment for the club.
"I want to do well for the idea of the football I have and I want to do well for the club as long as I am here. After that, we will see."