Wolves make the 154-mile journey to the south coast needing a result after falling to a disappointing 2-0 defeat at home to Brentford in their last Premier League clash.
Before that, the side was creating an abundance of chances with high-tempo attacking football and although Lage expects it to be difficult against Southampton, he wants his side to find the right spaces between the lines.
“It’s a big game because of the way they are playing, they’re doing well,” he said.
“They are very solid and compact. They press high every time and everyone helps together. There are short spaces to play.
“They did very well against Newcastle and Man City with the way they pressed but also the way they play.
“Against Southampton the space will be different and we need to see where it is. Every system gives space and every way to play gives us space.
“We need to find it to create problems for the opponent.
“I think it will be a good game. They are a real team, that’s the best thing I can say about their work.”
Wolves will be without Rayan Ait-Nouri after the wing-back suffered a concussion in midweek. He will need to recover for seven days as per the concussion protocols.
Meanwhile, Yerson Mosquera is expected to be sidelined for around two months after being stretchered off six minutes into his Wolves debut on Wednesday.
He had only just returned from a hamstring injury and although Lage did not confirm exactly what his new injury is, he said it is a muscular issue – “not in the same area but the same problem.”
Lage added: “It will be a long period out and we need to wait a couple more days to understand.
“The first news is that it will be a long time.
“I’m very happy with him, he’s a good boy and a fantastic player. He brings a big atmosphere in the building.
“The way he started pre-season with us, he didn’t deserve what happened in the last game. It’s a situation we cannot control.
“He has been training with the team for five or six weeks and has had some game time with the under-23s.
“The way he started, playing five or six minutes and then coming off with that injury, it’s frustrating for everyone.
“But this is life and we are here to support him because he is a player for the present and also for the future.”
Much has been made of Wolves’ formation in recent weeks, after Lage started pre-season in a 4-4-2 but switched to 3-4-3 just before the Premier League began.
Last month, Lage called for ‘three or four’ more signings before only Hwang Hee-chan was added.
He has reiterated again that the team needs ‘two or three’ more signings and has implied that may be the reason he has not switched to four at the back.
When asked if he is considering changing formations, Lage said: “Yes, of course. I started with a line of four but now, in this moment, I believe we are stronger with the line of five.
“That’s why Yerson is a player for the present and future. We need to look for this. We need to find guys like this and we have it in our squad. Guys with good technique, fast and strong in one-on-one and aerial duels.
“Yerson can give that to us. But in the moment we think we are stronger with five at the back. In the same way we can play five at the back and be an offensive team.
“I have that in my mind (playing a four) but when you look at the squad you have to feel it is best to do it.
“At Benfica I played 4-4-2 because I had the players in that system and for now I think our best position is with five.”