Wolves are in the thick of the fight for the top four.
Goals in either half from Ruben Neves and Daniel Podence at a rain-soaked Molineux kept them six points behind fourth-placed Manchester United with two games in hand.
Lage has transformed this Wolves side from the one that struggled to entertain under Nuno Espirito Santo last season.
And with six wins from their last eight games, Wolves are very much a contender to qualify for the Champions League in what is looking like a thrilling battle alongside United, West Ham, Arsenal and Tottenham.
“It depends on the way we work,” Lage said. “Now is time to recover and prepare best for the game against Arsenal and that is it.
“That’s the most important thing. We are coming with solid performances, we are scoring goals, we are winning points and we need to continue this way because if we do we can do something special.
“That is to look at the end, for now it is one more game, three points and focus on the next game.
“When I say something special I mean the way we are going to play these 14 games. We did something special with the way we played in December, January and February. We are doing solid things.”
Wolves were perhaps fortunate to win the the game as Ademola Lookman had levelled for Leicester before the break and they were on the back foot when Podence restored their lead.
The Foxes have been in that race for the top four in the last two seasons but have struggled this time around and this loss makes it five Premier League games without a win.
But boss Brendan Rodgers said his side’s performance was one that showed they were returning to form.
He said: “The result is a little frustrating because of our performance. We played very, very well. We are very disappointed. They had two shots on goal and scored two goals.
“I have seen us win some games and play nowhere near that level. I can see some fluidity coming back, we were at least worthy of a point. It was a little disappointing not to take anything.
“We are starting to return to our level, you see the progression, the energy in the team, we were a real threat today. Maybe in the final third we lacked the bit of quality needed to break down a five-man defence, but we arrived there numerous times with some good football.
“It is disappointing to not get something, but this game is all about performing and if we can do that we know with players coming back we can get back and challenge again.
“You look at that performance, you see our football – it might be too late for us this season in terms of challenging where we have been in the last couple of years, but we want to finish strongly.”