Kieran Richardson had opened the scoring for Sunderland and Sebastian Larsson then had a great chance to put them two up but he fluffed his lines after being awarded a highly dubious penalty which Wolves keeper Wayne Hennessey saved.
There then followed two goals in quick succession from Steven Fletcher saw Wolves gain a vital win.
When McCarthy was asked if he had any advice for O'Neill, the former Sunderland boss said: "No, I'm just glad I've made his job harder for on Monday morning.
"I'm thrilled that's he's got a harder job than it looked like for however many minutes here.
"Martin is a pal of mine but I didn't want to do him any favours. I don't do advice; I'd take some off him if he wants to give it!"