The Belgium international scored both goals, the first a brilliant, dribbling effort past four opponents, late on in the 2-0 victory over Chelsea which had the old stadium bouncing.
Lukaku has played just 18 minutes at the national stadium as a substitute for Belgium in a 1-0 defeat in 2012 but going there with his club will mean much more to him as Everton chase their first trophy since 1995.
"It was the best night I have had in the stadium since I arrived at the club," he told evertontv.
"I am happy to go to Wembley. I am happy for the team, for the club, as it is something we all wanted.
"We have come close before so we are now 180 minutes away from glory.
"There is a lot of belief. We know we are a good team and if we have a good day it is tough to beat us.
"It is up to us to be concentrated and do the job.
"It (Wembley) is different for Belgium. It was a nice experience but now playing with my team-mates at Wembley, the biggest venue for football, is going to be good."
Source: PA