Striker O'Halloran netted from close range to make it 3-0 and on-loan Stevenage midfielder Dunne came off the bench to wrap up the scoring with 10 minutes left.
Wright said: "Michael has been knocking on the door for a start and I thought he was excellent, he played really well and I'm pleased with him.
"James has come in and he's had to wait a couple of weeks to get on the pitch and I thought he was excellent when he came on and looked a really good player. And he took the goal really well, it was a great finish."
First-half goals from Stevie May and Frazer Wright gave Saints a platform to
reach the quarter-finals and Wright was delighted to see Steve Banks keep a clean sheet after the 4-0 League Cup semi-final defeat by Aberdeen.
Wright said: "I'm not only pleased with the new players but pleased with the back four and Banks - he's had to make a couple of really important saves at the right times.
"I'm really pleased, we knew our attitude had to be right - coming here is never easy. Then the wind got up as well which makes it difficult conditions for the players.
"I thought we started well and although we scored the first two goals off set-plays, we did control a lot of the first half."
Forfar manager Dick Campbell said: "St. Johnstone showed me the difference between taking to the park and finishing - clinical finishing. I never realised the job that was getting done at Perth, St. Johnstone have impressed me."
"They scored the first two goals from set-pieces. The first one should have been avoided but I think that first goal from Stevie May typifies the point made - it was a world-class goal.
"He'd not touched the ball in the first half an hour and then he scores a magnificent goal - that's the difference in quality of the two teams."