The Bluebirds lost out to Blackpool in a thrilling Wembley final two seasons ago, before being downed by Reading at the last-four stage last term.
The club, then under the guidance of former boss Dave Jones, had to watch as Welsh rivals Swansea took the tag of being the first side from the principality to make it to the promised land of the Premier League.
But, given the major overhaul that took place last summer following Mackay's arrival, there are many in the squad who were not involved in those previous disappointments.
And manager Mackay points to Cardiff's run to the Carling Cup final as proof that they can handle the pressure.
"That's in the past, you have to take the individual games on their own merit," he said.
"Last year losing Craig Bellamy against Reading didn't help and against Blackpool the year before they lost a striker who had got a lot of goals for them just 10 minutes in - Jay Bothroyd.
"And Charlie Adam had one of those days where he put the ball in the top corner from 30 yards.
"That's the kind of thing you need to go for you to win a final.
"But as far as we're concerned this is a group that has got to a Carling Cup final and taken a club like Liverpool all the way to penalties.
"That shows there's a strength in character here to enable us to handle a two-legged semi-final."
Mackay will select his starting line-up from virtually a full-strength squad.
Four unspecified players all sustained various knocks in the last-day win at Crystal Palace that secured the Bluebirds' top-six finish, but are all expected to be back in contention.
Striker Rudy Gestede overcame a hip injury to step off the bench in last weekend's 2-1 win and, together with fellow substitutes Robert Earnshaw and defender Darcy Blake, is pushing for a recall.
Mackay, able to choose from a settled squad in recent weeks, is expected to opt for Don Cowie in midfield ahead of Stephen McPhail.
West Ham have a fully-fit squad available. Midfielder Gary O'Neil was a doubt after taking a whack on the ankle towards the end of Saturday's 2-1 win over Hull but he has been passed fit.
Skipper Kevin Nolan is also fine despite suffering a dead leg at the weekend and defender James Tomkins has shaken off a knock to the head.
Allardyce was able to take off two-goal Carlton Cole and strike partner Ricardo Vaz Te early in the second half against Hull as the news Southampton were winning made the result academic, so they are expected to start up front.
Fit-again George McCartney (concussion), a substitute on Saturday, should reclaim his left-back spot.