The Owls beat Wolves on Saturday after David Lucas was the star of the show.
Paul Sturrock's men were second best against Wolves, especially in the first half and Kenny Miller missed a penalty.
But the game eventually went to a shoot-out, Kevin Cooper was the only player who missed with Lee Bullen, John Hills, Burton O'Brien, Graham Coughlan and Lucas scoring from the spot.
In the final yesterday, Sturrock got a rapturous reception from the Dundee United crowd but his former team came out on tops in the final.
Lee Peacock gave Wednesday the lead but suspect defending let in United to win the game thanks to a Patrick Collins own goal and a late strike from Garry Kenneth.