The Swans were towards the bottom of the Football League structure 10 years ago but now sit ninth in the Premier League and Wednesday's 0-0 draw with Chelsea gave them a 2-0 aggregate semi-final victory and a trip to Wembley.
Laudrup's men now have a short break ahead of Tuesday's clash with Sunderland and the manager thinks it comes at a good time.
"I think everybody, the players, the staff, and the fans, need a couple of days to understand we are there, but the good thing is we have a month to be ready," he said.
"We have three games in the league before then but we just need to enjoy it, as it is not often in football you can enjoy.
"We can now enjoy this final for at least a month and hopefully for a while after."
Swansea will face Bradford in the final, the League Two side having seen off Aston Villa in their semi to continue a remarkable run.
Laudrup said: "The DVD has been invented, so I have already seen four or five (Bradford) games.
"I have seen the games against Wigan, Arsenal, and both against Aston Villa, and looking at those will be important for us.
"What we have done is a small fairytale but what Bradford have done is amazing.
"It is great what they have achieved in beating three Premier League sides, but hopefully it stops there."