The Swans have a good home record against the Premier League big guns this season and have twice drawn with Chelsea at the Liberty Stadium, but their only visit to Stamford Bridge ended in a 4-1 defeat.
Laudrup's men have never previously progressed to this stage of the Cup, and despite their Stamford Bridge record, the Swansea boss believes playing the first tie away is ideal.
"I always preferred being away first in these games. I have done both as a manager and a player and if I had to choose I would prefer to play away first," Laudrup said.
"The different thing is it is not a complete game, it is only the first half and we play the second half here in two weeks' time.
"It is difficult to play a game when you know you have another one to come, but we know it is important to get a result so we can play the second leg here in front of our fans with the possibility to go through.
"It will be difficult, we know that. To beat Chelsea in one game is difficult, over two games it is even more difficult.
"But we have to give it a try, and we will give it a try and I hope the confidence we have built up in recent weeks can help us."
While Premier League survival remains the top of Laudrup's priorities, he has made it clear he will not be holding any players back when a final spot at Wembley is up for grabs.
"As a smaller club we cannot normally compete for trophies, so to be so close to a final is fantastic," he said.
"It is the first time for us to be in a semi-final for some time.
"It is the first time since 1964, that was a good year as I was born then so it is 48 years ago and it shows what an achievement this is.
"The chance to go and play in a final is very big for us."
Laudrup also refused to discuss any transfer window activity ahead of the trip to Stamford Bridge.
"I know it is January and you are always going to ask me about transfers this month, but the game is so important for us so today there is no comment on anything other than Chelsea," he added.
"There will be nothing on Danny Graham or anyone else as the most important thing is the game tomorrow. It is huge for the club, the players and all of us and that is the message we have to send."