The 30-year-old has been involved in two Championship play-off finals - as an unused substitute when the Blades lost 3-0 to Wolves in 2003 and in a 1-0 defeat to Burnley in 2009 when he played the full 90 minutes.
Montgomery said: "People always ask questions about the previous finals, but they're all in the past and for me it's my third time in a play-off final, so hopefully it's third time lucky.
"The law of averages says if you keep trying you'll win one, so hopefully this year will be year we finally do it."
The Leeds-born midfielder is in his 12th season as a professional with his only club after progressing through the Bramall Lane academy to make his debut at Norwich in 2000.
"Hopefully my experience will help the side because it's a massive game," he added. "There's so much build-up in the week prior to the game, starting now, and the experience I've gained in the past I can hopefully pass on to the lads to keep calmer heads and play the game our way."