"I don't think that we've peaked," Wheeler said. "I think we have a way to go. Our team, we're learning how to play fast and kind of on the fly and I think we can play faster. With the way the League is going, that's an exciting thing. There's no back-slapping. We're enjoying winning, which is kind of new to our group, but we're not fitting ourselves for rings or anything like that."
WATCH: [All Golden Knights vs. Jets highlights]
Connor Hellebuyck made 27 saves. He is 5-0-0 this season after losing his previous start (3-2 in overtime to the Colorado Avalanche on Wednesday).
Winnipeg was 3-for-5 on the power play.
Cody Eakin, William Karlsson, Erik Haula and Colin Miller scored for the Golden Knights (15-9-1), who have lost three games in a row. Maxime Lagace allowed six goals on 37 shots.
"We can't sit back on our heels," Vegas forward Alex Tuch said. "When we forecheck, I think we're one of the best forechecking teams when we are forechecking with five men. But if we only have one, two or three forechecking guys at a time, it doesn't work, honestly. It has to be a connected unit. That's what made us so successful at the beginning of the season."
Defenseman Tyler Myers scored on the power play to give the Jets a 1-0 lead at 4:49 of the first period, his point shot deflecting off Miller's stick.
Eakin batted the rebound of a Brendan Leipsic shot out of the air at 12:51 to tie it 1-1.
Karlsson scored his Golden Knights-leading 14th goal when he redirected Nate Schmidt's point shot at 16:49 to make it 2-1 Vegas.