22-year-old McDonald has made sixteen first-team appearances since joining the club on a free transfer during the summer and is in the final stages of a short-term deal at the Banks's Stadium.
Wes, a former scholar at Birmingham City who also spent time with Yeovil Town before arriving in WS1, has been among the Saddlers' better performers so far this season and is likely to be offered a new deal by the club over the coming weeks.
Both Kilmarnock, who currently sit 5th in the Scottish Premiership, and Southend, who are 22nd in League One, have been keeping tabs on Wes over recent weeks and are keen to make a move in the New Year.