Merson was also impressed with the two-goal performance of striker Marvin Robinson on his home debut to plunge Blackpool to their first defeat in four games.
After the win Merson said: "I have to be pleased with the result and scoring three goals against a side which had only conceded 10 in 10 games away from home.
"We did not play as well as we can but Marvin Robinson did exceptionally well on his home debut and I am confident we can maintain this progress."
Blackpool boss, Colin Hendry, was disappointed. He said: "It was not a bad performance but we go home empty handed.
"We lack height and this was proved as Walsall scored their last two goals from set-pieces. Obviously, we need to strengthen the side."
Blackpool gave an early indication of their recent improvement with some positive attacking play.
The Walsall defence was far from secure under such pressure and they suffered several anxious moments keeping out the north west side.
With Keigan Parker and Jamie Burns proving troublesome, Walsall were far from secure and this was demonstrated in the 32nd minute when a tentative Mark Kinsella easily lost possession to Simon Grayson.
The Blackpool midfielder pushed the ball forward into the path of Scott Taylor and the striker moved forward to score his 13th goal of the season with a low cross-shot.
Blackpool's nippy play was an obvious problem for Walsall but the Saddlers redeemed themselves in the final minute of the first half when player-managr Merson set up Robinson to provide a cross from which Jorge Leitao equalised with an easy close-range header.
As usual Walsall lifted themselves in the second half and stormed into a 55th minute lead when newcomer Robinson turned in a header to put the Saddlers ahead.
But any joy Walsall may have enjoyed was certainly short lived as a minute later Parker equalised direct from a free-kick.
Robinson, however, sealed the game when he rose to head home Merson's free-kick to take his tally to three goals in his first two games for Walsall.