Experienced centre-half Craig will make his third trip to the national stadium next weekend when the Bees take on Yeovil in the League One play-off final.
Craig, who has been on both winning and losing sides with Millwall, said: "Wembley's a place for winners, you don't want to lose there because it's not a nice feeling.
"I've been a winner and a loser. When you win there's nothing better than walking up those steps, but losing was the sorest moment of my career. I don't want a repeat of that."
Even Millwall's victory, over Swindon in the League One play-off final in 2010, was a bittersweet experience for Craig.
He added: "I broke my metatarsal last time. I couldn't have champagne afterwards because I had to have an operation!
"But it's long forgotten now and hopefully it will be a different outcome.
"It will be a tough game. Yeovil have already beaten us twice this season. They'll give us a run for our money."