Stale Solbakken started life as Wolves boss with an unconvincing victory.
Solbakken's side, who are bidding to secure an immediate return to the Premier League, were desperately short of quality against a plucky Shots side who pushed them all the way.
Sylvan Ebanks-Blake opened the scoring in the second half before the League Two visitors, who made the fourth round last term before bowing out to Manchester United, quickly levelled matters through Michael Rankine's header.
After both sides were put through a draining 120 minutes on the opening day, it was left for Wanderers keeper Carl Ikeme to make the decisive shoot-out save to deny Jordan Roberts from the spot and seal a narrow 7-6 triumph.
Solbakken highlighted his intentions by naming a strong XI, with eight of the side who featured on the final day of last season's disastrous top-flight campaign starting.
Striker Steven Fletcher, who has handed in a transfer request, was not involved, and neither were winger Matt Jarvis or goalkeeper Dorus de Vries, who have both been the subject of rejected bids, although the former was understood to be struggling with illness.
Around 900 Wolves fans missed the start of the cup clash as they arrived close to kick-off only to encounter technical problems entering the newly-opened Stan Cullis Stand.
They missed little during a largely ordinary first half although the hosts were the more dominant, Kevin Doyle heading the best chance narrowly wide.
But Wanderers gained the crucial breakthrough just eight minutes into the second half.
Tongo Doumbia broke down the right and found Ebanks-Blake, who turned well from close range and fired home at an acute angle.
Yet the lead lasted just nine minutes as an unmarked Rankine, who had headed wide moments earlier, this time made no mistake from Josh Payne's inswinging corner.
Both sides pushed for a winner but it did not come in 90 minutes, while extra time also failed to separate two leggy teams, with Anthony Forde coming closest when he hit a post from 20 yards.
And so it was left for penalties to decide the tie and after the first 12 were all scored, Ikeme parried Roberts' effort.
