The Sky Blues, currently 11th in League One, arrive at the Lane with just one defeat in 11 in all competitions and a much-improved record under Mark Robins, who was appointed manager in September.
Last season's tie against League One Stevenage underlined how tricky these matches can be as we scrapped out a goalless away draw and then trailed 1-0 in the replay before running out 3-1 winners.
"We have to have the right attitude, that’s the most important thing on Saturday," said Assistant Head Coach Steffen.
"With our crowd behind us, that would mean only one winner, I’m sure of that.
"But if we go out there thinking we’re already in the next round, we are in trouble, because the top four leagues in England are strong.
"Coventry will come here with nothing to lose, defend deep and look to hit us on the counter-attack. They are a good team, they keep possession, try to play football and they come here with a lot of confidence.
"They are in the middle of the table, but since Mark Robins arrived they’ve lost only four in the last 23. They lost the first two games but have played really well since then. That’s why we have to be careful."
Steffen lifted the League Cup at Wembley soon after joining us in 1999 but suffered the heartbreak of losing two semi-finals of the FA Cup during his time as a player at Spurs.
"I know what this competition means to the supporters, to the coaching staff and of course the players, everyone at the club, to go to Wembley and win some silverware," he said. "That would never be forgotten.
"I have to say at the moment that it’s good we go from game to game and step by step. We respect Coventry, and first we have to beat them. After that, let’s see what happens."