A five-goal thriller between two Premier League rivals at Upton Park on Tuesday night saw the Hammers edge their way into round four.
It looked like being a lot more comfortable for the hosts as Ravel Morrison and Matt Jarvis put them two up inside eight minutes.
They required an 88th-minute winner from Ricardo Vaz Te to sneak through, though, after Craig Noone and Peter Odemwingie had levelled matters for the Bluebirds.
West Ham assistant manager McDonald was delighted to see his side prevail in a topsy-turvy encounter and hopes the draw will be kind to Sam Allardyce's side as they start dreaming of Wembley.
He told Sky Sports: "Another four games. We have already said to the players it was five before tonight to get to Wembley.
"We have got four now so let's hope we get a nice draw. Whether it's at home or against a big team, we'll be ready."
He added: "It should have been all over at half-time. That's the most disappointing thing. We played some brilliant stuff in the first half, we got the early goals and created chance after chance after chance, but we didn't finish them off.
"We probably thought it was too easy and took our foot of the pedal. And Cardiff scored a great goal just before half-time. When you are on the back foot after conceding just before half-time it changes everything. People come in expecting a pat on the back but instead we gave them a talking-to.
"To be fair to Cardiff they got the equaliser but we stuck together, we worked hard for each other and we'll take a late winner and a 3-2 win.
"It's always good to win and Sam is pleased we are through, although he's slightly disappointed with some aspects."
Mackay and Cardiff must wait another 12 months before returning to League Cup action, but they will be taking plenty of positives from their display against the Hammers.
Asked if he was pleased with certain aspects of the Bluebirds' showing, Mackay said: "Certainly with the second half performance.
"They showed what they are in the second half. They showed that they can come here and compete, rock West Ham and put them on the back foot. At the end of the day, I thought it was a very close game.
"I thought we were a shadow of ourselves in that first period but we scored a beautiful goal on the stroke of half-time to bring ourselves back into it
"We had a conversation at half-time and certainly put West Ham on the back foot in the second half.
"To quieten the crowd to that extent at 2-2, I'm very proud of the players."