Los Rojiblancos have enjoyed a decent first half to the campaign and lie seventh in the Primera Division after last weekend's impressive 3-0 defeat of Getafe.
Next up is a trip Estadio Manuel Martinez Valero to take on an Elche side without a win in six matches in all competitions.
Their last victory came against Valencia on November 24 and Emery is keen that Sevilla avoid a similar fate to his former club.
"We are pleased with our progress, but we have not done anything yet," he said.
"We are seventh and we are not comfortable. Now comes the most difficult steps, when we have to maintain a balance and take the challenge to continue on this path to be strong and faithful.
"Going on the road is good, but we have to continue it. Tomorrow we have got Elche and points there will say something important.
"It is vital to win tomorrow and we always respect our opponent, even if they are not a good moment. It will be a tough game."
While Sevilla are looking for a fourth successive league win on the road, Elche boss Fran Escriba hopes a positive result against Sevilla can act as a catalyst for the rest of their season.
"We've made mistakes, but not for lack of intensity or attitude," he said.
"I am convinced that in the second round of matches we will enjoy much more because we are closer to finding what you want.
"Sevilla are one of the best teams in Spain, a complete set, with great presence and have overcome a slow start and is now fighting for the top positions."