Such was his desire to come to the club that he didn't mind dispensing with such formalities, and he says:
"The transfer was something that was going to be done after the weekend, but the manager really pushed to get it done before Saturday to get everyone integrated as quickly as possible - it just means the squad gets tighter.
"I have just come back from international duty and it was a case of getting everything done as quickly as possible - I will get chance to see the stadium now I have been to the training ground.
"But I have obviously met all the players and training staff now."
The next step is getting his first action in at Upton Park - and his first start.
"I am desperate to get fully involved," he says.
"I know West Ham are massive; I went there with Norwich and saw the massive crowd and it felt like a Premiership club - hopefully, come the end of the season, that is what it will be.
"We have two home games with big crowds and that is what it is all about - and why I wanted to come."
At least he had the luxury of a training session with his new team mates before coming on as a late substitute at Bramall Lane, and he says:
"It was nice to be involved with the boys and get a session in - and to get on the pitch on Saturday was a bonus.
"The squad is increasing in experience and strength with the new players, and w"We are up the league table again now so that is good."
Malky was impressed with Calum Davenport's first start for the Hammers and he says:
"Calum adapted very well and headed every ball - he didn't give Ashley Ward, who is a tough customer in our league, a minute."
He was impressed with the overall display, too, and adds:
"I have played Sheffield United many a time so I know how difficult it was - and it was great to see the boys fighting so hard."
But would he have headed Quinn's floated free kick off the line?
"I don't know about that!"