Like I said, it's not a video game, you can't just "pull" a pitcher. The reliever has to be warm. Wickman didn't get up in the 'pen until after the first hit, and the next two hits came in about a minute of actual time. Hard for a manager to do much about that...
You might even say that Wickman came in too early as far as his warmup was concerned. Why do you think he gave up a hit on the first pitch, which was a fat one over the plate, and looked quite erratic the entire time? He wasn't warm. Imagine what would have happened had Cox put Wickman in after Hudson gave up the first hit, unwarm, like you armchair managers are suggesting.
I'm not saying Cox isn't partly to blame, but equally to blame are Hudson and Wickman. Hudson for obviously saying he could go out and finish the game when he clearly didn't have it and Wickman for blowing the save ... when it comes down to it, he's a closer, he's expected to perform in pressure situations and he didn't.