Amidst incredible scenes in the North of England Carlisle beat Leeds in a penalty shoot out.
A goal from Rickie Lambert and a Dan Woodwards o.g. made it 2 - 0 to Southampton on the night and 3 - 0 on agg before MK Dons pulled one back but any nerves were settled when Adam Lallana scored Saints' 3rd and put the outcome beyond doubt.
Saints boss Alan Pardew was delighted.
"I'm very proud. It was a special night and a good feeling." he said. "The fans deserve their day out at Wembley, as do the players who've been brilliant in this competition all the way through.
"We're in three competitions still, and we're trying to go as far as we can in all of them."
If that wasn't a big enough match then on Saturday Saints face Pompey in the 5th round of the FA Cup.