The Bundesliga outfit completed their preparations for the new season with a 2-0 victory over Marseille at the Volkswagen Arena, courtesy of goals from Ricardo Rodriguez and Bas Dost.
Klose, a new signing from German rivals Nuremberg, believes Dieter Hecking's men can take a lot out of the match ahead of next week's DFB Pokal fixture against Karlsruher.
"We played in a great friendly today," the 25-year-old said. "I think we can be happy with the first half, I felt sometimes we held the ball a little too long but we can improve that.
"But we know that pride comes before a fall, we have to avoid unnecessary error and make sure we score, because it would be a shame not to win the match after our performance in the first half.
"We need to improve a few things from the second half though. Our strength diminished a little and also our precision, but we managed to avoid a counter goal, and that was important for me: 90 minutes, against a good opponent and the zero on the end."
Diego Benaglio echoed his team-mates' comments after Wolfsburg ended the pre-season with three wins, three defeats and a draw.
"For us it was very important to win our last pre-season game," the Swiss goalkeeper said.
"I think overall it was a decent game from us, especially in the first half. We have done a lot of things right and haven't really let Marseille into the game.
"So overall the pre-season ends well, but we all know that what counts is what happens when it starts now with the cup."
