However, the defender says that discussions are yet to take place and believes they are likely to occur in the summer.
The 25-year-old has come to the fore in recent weeks after recovering from a knee injury, playing in five of the Owls’ last six games in the Championship.
When asked about whether he would be interested in moving to Sheffield on a longer-term basis, he answered: “Yeah. The most important thing for the moment is to take it game by game, but of course I am really enjoying Sheffield and the way we play, so I would like to stay.”
Sasso did say that there had “not really” been any discussions over the move.
He continued: “There is still a long time, so the most important (thing) is to focus on the games we have and we will see at the end of the season.”
Wednesday face a tough task away from home against Preston this afternoon.
While the Owls have won two on the spin, including a 4-0 victory against Brentford last weekend, the Lillywhites have come to be regarded as one of the more physically challenging teams in the Championship.
Sasso felt that side of the game was his biggest problem when he moved to England.
“English football is a really different culture and really different football from France or even Portugal. I really enjoy it,” he said.
“In the beginning, it was really hard because the referee does not blow as often as in Portugal and the intensity is way higher.
“Every game is tough. We played Bolton, they are bottom of the league, but we had more difficulty than other games, so we just have to focus on us and our game and be ready every game.”
With the Owls flying high and potentially moving to within two points of second-placed Middlesbrough with a win, Sasso’s mind could have turned to automatic promotion, but he said: “We can’t think like this, because if we think like this we are going to fall.
“Teams like that are struggling when they go top, so we just have to take it game by game.
“I would be lying if I said that we are not looking at the ‘classification’, but it’s simple – if we win the next 15 games we will go up for sure. The most important thing is to focus on us.”
Last six games: Preston North End WDLDWW Sheffield Wednesday WDLDWW.
Referee: K Stroud (Bournemouth).
Last time: Preston North End 0 Sheffield Wednesday 2; December 31, 2011; League One.