In the series opener Wembanyama became the youngest player in NBA history to score 40 points and make 20 rebounds in a play-off game as the Spurs won 122-115.
He finished with 21 points and 17 rebounds in game two, which the Spurs lost 122-113.
“My shooting splits aren’t terrible,” said 22-year-old Wembanyama.
“I need to facilitate better, rebound the ball better, push their defence a little bit further and see how much they need to help with my team-mates and feed them.”
The Thunder scored 76 points off the bench at Frost Bank Center in game three, the most in a conference finals game since the 16-team play-off format was introduced in 1984.
Shai Gilgeous-Alexander, the NBA’s Most Valuable Player for two seasons in a row, scored 26 points and made 12 assists for the Thunder, while Jared McCain scored 24.
Game four takes place at the same venue on Sunday (01:00 BST, Monday).
The winners of the Western Conference finals will meet the New York Knicks or the Cleveland Cavaliers in the NBA Finals, starting on 4 June.
The Knicks lead 2-0 in the Eastern Conference finals before game three at Rocket Arena in Cleveland on Saturday (01:00 BST, Sunday).