The last of four summer friendlies saw the Saddlers put in an impressive first-half display against last campaign's League Two winners.
Cheltenham then prevailed as they made the most of their chances in the second period, but Taylor is happy with the state of his side ahead of next weekend's trip to Tranmere.
"Most definitely. In the first half, I thought we were excellent in our build-up play and getting to the final third," he said.
"Then, we didn't make enough good decisions. We came away having had seven attempts without scoring a goal.
"That shows you a slight area we need to improve but this was a positive exercise for us, although we lost the game.
"The players are disappointed but when you contextualise things – a new group of players, a new group of staff with new ideas – it's going to take time for it to all knit together.
"In terms of effort and determination, no problems or qualms with that.
"We understand we need to get better in the opposition box, but I'd be more disappointed if we hadn't created anything.
"We're doing the right things and it will come."
Ash Taylor saw a header ruled out for offside in the first half for Walsall while Kieran Phillips nodded one onto the crossbar.
The Robins had Matty Blair and Charlie Raglan find the net after the break at Whaddon Road.
"The most important thing is Tranmere. Without making excuses, we've missed two games this pre-season that have been out of our control," added Taylor, with six friendlies originally planned but clashes with Leamington and Albion called off because of Covid-19 and adverse weather conditions respectively.
"For some of the players, that was their first 90 minutes in pre-season. So, I'm really happy with lots of what came out of the game."