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Michael Chopra, Ross McCormack, Joe Ledley and Mark Kennedy all found the net in the penalty shoot-out, but asked whether his side had practised beforehand, Dave Jones said: "No.
"In pro clubs I guarantee players practice it everyday, sometimes I don't see the point in it because you can't recreate what's out there.
"You can't go out to the training ground and have 28,000 fans baying for blood and everything else, it's impossible.
"All we said in the huddle was 'Pick your spot, go for it and have no regrets'."
Jones added: "Credit to our stats man, he got all the penalties they took, all the players we thought would take them and gave them to Dave (Marshall).
"When it comes off it's the best feeling in the world and that's one of those feelings today."
Cardiff now face a third trip to Wembley in two years.
"I thought everybody today was magnificent," Jones continued. "It's a sad way to lose but a fantastic way to win and I'm just glad that I'm on the other side.
"We'll have a day off tomorrow, back in Friday and then we'll go again."
A gracious Nigel Pearson was natuarally disappointed but his professional reaction and gallantry in defeat will win him many new friends.
"Penalty shootouts are exciting for everybody else but when you miss out it's very, very tough," he said. "But there you are.
"We went about the game very well and asked a lot of questions of them. It could have gone either way, there's no doubt about that.
"I'm very proud of the players, I'm proud of their application, I'm proud of the way they played.
"They've been totally committed this season and it's come down to a penalty shootout to determine whether the season progresses. But I'll reflect on the bigger picture."