A pair of Branislav Ivanovic mistakes ensured the Swans got full reward for a battling performance to land a surprise 2-0 win.
Michu swooped on Ivanovic's initial error in the first half before Danny Graham gave the Welsh club a near-decisive lead in injury-time.
Laudrup admitted the performance was one of the best since he took charge in the summer, but warned his side could ill afford to begin thinking about Wembley.
"To be honest I'm delighted with the result. I would lie if I said otherwise," he said.
"I think we have had some historic results already this season – winning at Anfield and at the Emirates. Winning at the European champions though is something very special.
"But there is still a mountain to climb. They have so much quality and we will have to play exactly the same and with the same intensity.
"They could still score three of four goals against us. But I am most happy about going into the second leg at home with a possibility to play a final at Wembley."
Laudrup praised his team's defence, who restricted Chelsea's chances. "I think we knew it would be a difficult game," he said.
"The possession they had was much more than us – that's obvious. But to be honest they only had three big chances.
"They gave us two goals, but you have to score them. They are two mistakes but even if you take away the two goals they only created three chances. It was a marvellous fight."
Swansea Defender Ashley Williams said the return leg in a fortnight would be one of the biggest occasions in the club's history.
"It will be a massive game," he admitted. "If we do get to Wembley it will be huge for everyone.
"We just wanted to get a result and bring them back to our place and try and finish the job.
"Last night we just wanted to play our own game and not let the occasion get to us.
"We stayed calm and played the way we wanted to."
Michu added: "The key was that the whole team worked very hard. I am very happy for the team."