Lage takes his side to Arsenal on Thursday night within striking distance of the top four following a run of six wins from the past eight league games.
Wolves could move just three points behind fourth-placed Manchester United, and still with a match in hand, if they can record another victory at the Emirates Stadium.
Lage has transformed the team from the one which had appeared to stagnate somewhat last season under Nuno Espirito Santo.
Yet, despite all of the plaudits, the Portuguese former Benfica boss is determined to take things one game at a time.
"I will tell you why – because you can be fired the next day," Lage said of not dreaming about the Champions League.
"How many managers come, play four or five games in Premier League and they get sacked? You have a contract and you can be fired the next day.
"It is our life – even if you are dreaming about some things you want to do in your life, you need to go with solid things.
"I want to play in the UEFA Cup and the Champions League with Wolves in each year, but what I know is I go and try to win the next game.
"Because our life can change, just like this. Look for example at Nuno, he was here with fantastic work, went to Tottenham, was manager of the month – then what happened the next month?
"Look at me what happened in Benfica; manager of the year, manager of the month in January, February, March and April then after I lose a couple of games, I was sacked.
"That is why every time I have my car keys in my pocket, so I just put my bags in my car and go."
Lage, though, will never tell anyone of his squad not to aim for the very top.
"I want my players to have to have their own vision, especially for the careers," he said.
"So don't waste your time, every time to try to improve and to do things for your career and for your club.
"If I heard them talking about that (playing in the Champions League), it is good because that is their ambition, their work and they need to have that character.
"We need to continue to work to improve, but every time we talk it is (about) one game at a time - and for now, it is Arsenal, an important game for us and them."