The reigning champions are in their familiar position at the top of the Premiership standings after Saturday's 37-14 victory over Sale at The Stoop left them with three wins out of three.
The bonus-point triumph means they are now two points clear of nearest challengers Northampton at the summit, but O'Shea is not getting ahead of himself and concedes there is plenty for his side to improve on from today's performance - especially with a trip to Leicester next on the agenda.
"I am pretty happy to take 15 points from the 15 points available. Every game is a tough proposition at this level but it is very early days," he said.
The Quins had to wait until the last minute to secure their fourth try through Mike Brown but they should have secured their bonus point far earlier.
O'Shea said: "It was a far from perfect performance, we didn't protect the ball enough and started to force it too much. There was one offload too many and we lost the penalty count 12-10 which is unusual for us.
"However, we like playing with tempo, the players like playing with risks and wouldn't enjoy it if they didn't do so."
Next week Harlequins will test their unbeaten start at Leicester, and O'Shea said: "We will have to improve a hell of a lot because it's different gravy up there at Welford Road."
The battling Sharks were unlucky to be on the receiving end of such a heavy defeat as they led 8-7 on the half hour but had no answer to the tempo of Quins' game.
Sale coach Bryan Redpath said: "The scoreline is not a fair reflection. However, we coughed up too much possession and gave away a
soft try just before half-time.
"Danny Cipriani missed a couple of pots at goal but we looked dangerous in parts. Discipline let us down and our set-piece didn't function."
Sale have now lost each of their opening three games but Redpath was keen to point out they have not had the easiest of starts.
He said: "Our attack was better today but we conceded too much in defence; however we have played two of last season's top five away from home."
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