The visitors found themselves trailing in the 24th minute when Michael Doyle made it two goals in two games.
Clinton Morrison bravely beat keeper Wayne Hennessey to the ball and when his shot thundered against a post, Doyle slammed in the rebound from six yards.
Wolves wasted an excellent chance to equalise two minutes before the break when Michael Kightly's corner from the left was wastefully headed over the bar by the unmarked Christopher Berra on his debut.
McCarthy's half-time team talk had the desired effect as Coventry's defence was put under sustained pressure.
The breakthrough came in the 72nd minute when Kightly's corner from the left was met at the far post by substitute Sam Vokes, who headed the ball into the top corner.
Coventry refused to buckle and they restored their lead just three minutes later.
A well-crafted through ball from Jordan Henderson teed up Leon McKenzie and he smacked a low shot into the far corner.
Wolves were thrown a dramatic lifeline in the fourth minute of stoppage time when Sylvan Ebanks-Blake was fouled inside the area.
The Championship's top scorer stepped up but Westwood dived to his right to prevent the striker netting his 21st goal of the season from the penalty spot.