Dortmund are on seven points from three games after Karim Adeyemi scored twice and set up another goal for the Ruhr valley club in a solid performance.
"It was a deserved win and a very good start for us but then we shut the door and I told my players that Heidenheim will not give up. So we had to keep stepping on the gas," Sahin told a press conference.
"We had a few chances and we could have finished it off earlier but we dealt well with the pressure."
Dortmund, who had new signing Serhou Guirassy in the lineup for the first time with the Guinea international having recovered from injury, quickly took a two-goal lead in the first 17 minutes.
Adeyemi first set up Donyell Malen for the lead in the 12th minute before doubling it with his first goal after completing a textbook break five minutes later.
They then eased off, allowing the visitors to cut the deficit before restoring their two-goal cushion in first-half stoppage time with Adeyemi's second goal of the evening.
Both teams scored from the penalty spot in the second half.
"We measure our players also on assists and goals but we can only defend well if the players press. Karim took the momentum from his Germany Under-21 performances with him," Sahin said.
Adeyemi had scored five goals in two Germany Under-21 matches in the international break.
"The first (half) was our best performance so far but we want to develop further," Sahin said.
Champions Bayer Leverkusen travel to Hoffenheim on Saturday while Bayern Munich, on six points, will look to make it three wins from three games when they take on newly-promoted Holstein Kiel.
