Michu and Danny Graham pounced on mistakes from Branislav Ivanovic to give the Swans a commanding advantage to take into the return leg of the semi-final in a fortnight.
But Laudrup warned against writing off the quality of Chelsea, who dominated throughout at Stamford Bridge but were unable to take their chances.
"We've had some historic results already this season but to win at the European champions is very special," Laudrup said. "To be honest I'm delighted with the result.
"But there is still a mountain to climb. They have so much quality and we will
have to play exactly the same; with the same intensity. They could still score three of four goals against us.
"But I am most happy about going into the second leg at home with a possibility to play a final at Wembley."
Chelsea dominated possession throughout at Stamford Bridge, but they paid a heavy price for failing to take any of their chances.
"I think we knew it would be a difficult game," Laudrup added. "The possession they had was much more than us - that's obvious. But to be honest they only had three big chances.
"They gave us two goals, but you have to score them. They are two mistakes but even if you take away the two goals they only created three chances. It was a marvellous fight."
Swansea skipper Ashley Williams added: "We stuck to our gameplan and defended really well.
"It will be a massive game at home. We're only half-way there in a massive tie. If we do get to Wembley it will be massive for everyone.
"We just wanted to get a result and bring them back top our place and try and
finish the job. We just wanted to play our own game and not let the occasion get to us.
"We stayed calm and played the way we wanted to. The second goal is a bonus for us and gives us a bit of a cushion. They will come at us though."