Kelvin Davis knows what it feels like to reach a Wembley final with Saints.

As the team prepare to take on Sheffield United tonight for a place in the last four of the Capital One Cup, the club captain does not want to see another opportunity to get back to that stage slip through their fingers.

Davis was part of the side that won the Johnstone’s Paint Trophy in 2010, with Saints beating Carlisle 4-1 at Wembley to claim their first piece of silverware since the 1976 FA Cup.

It might not rank as their finest achievement in recent times, but it remains a fond memory nonetheless, as well as a notable highlight on the journey from administration back to the Premier League.

“I think my experience of a Wembley final and the Paint Trophy, it’s the feeling that every player should have in his career,” said Davis.

“It’s a fantastic day and a fantastic experience.

“From what you start doing as a kid to then becoming your job in life, that brings everything together, and if you can win something like that in your career it makes everything worth it – what I mean is it gives a complete feeling to a career, that you’ve got something in the trophy cabinet, something to remember.

“I still speak to your Rickie Lamberts, your Dan Hardings and your David Connollys who were involved on that day and it’s still a special time.

“I know it’s recent times, but why not have that feeling again? Why not take 55,000 fans to Wembley?”

The Saints keeper added: “For what the club had gone through and the timing of being in that Wembley final and to win the final, which is always got to be your aim if you’re in that competition, I think it was vitally important for that springboard, that foundation to push the club on.

“I understand it’s not the biggest final, but you kind of underestimate – the fans we took to Wembley showed how important it was for everybody and, like I say, to have that opportunity to experience that again, in a more prestigious cup, and what that gives you if you win it – it gives you an opportunity for European football.

“There’s obviously a mountain to climb to get there, but, once you’re there and you get through it, the possibilities are there for us.”

Having beaten Millwall, Arsenal and Stoke – all away from home – to reach this stage, it would be particularly deflating to be knocked out by a third-tier side, and Davis is well aware that Saints currently possess a fine opportunity to win a significant trophy.

“I think if you look at Southampton as a club and where we are at the moment – we’re a club that, are we going to win the league? Unlikely. Not impossible, but unlikely.

“Can we win a cup competition? Yes, we can.

“We have got everything at this club to enable us to get to finals and aim to win the final.

“From that point of view, we’re in a position – as were Swansea when they did it, Hull getting to the final of the FA Cup last year – to progress. That’s what we want to achieve, and then to keep moving forward.

“I think that if we don’t progress, we will be absolutely disappointed.

“Not the fact that it’s a League One team, but because of the fact of the opportunity that presents itself right now.

“The thought of waking up on Wednesday morning not being in the next round makes me feel uncomfortable.”

Davis added: “I think up until this stage we’ve kind of managed to slip under the radar and just win our games and sort of move onto the next round, and the round after that – and now we’re at the round after that and, obviously, we’re aware we’re a win away from the semi-final and, all of a sudden, it puts a lot more on the game.

“It’s a tough game, away at Sheffield United. They’ve done exceptionally well to get to this stage themselves, so it’s a game that we obviously want to win.

“We obviously see the competition now as a competition that we can get to the final.”

While Davis knows how special it would be to return to Wembley with Saints, he also knows as well as anyone in the squad how difficult the obstacle just between them and a semi-final berth is.

“It’s a tough place to go,” he said of Bramall Lane.

“Certainly in my career over the years playing there, I didn’t go there too often and turn them over.

“We’ve got new players, in terms of that being a new experience for a lot of our players, so it will be a tough test, that’s for sure.

“But I think one thing they should know about us is we’re not turning up with anything like in our minds that it’s going to be a walkover or all we need to do is put our boots on.

“We’ve certainly not got that mentality.

“We’re not on the best run ourselves at the moment, so they’ll look at it as an opportunity and we’re looking at it as a night to turn our results around and get back to where we want to be.”