And more especially their manager Xisco Munoz.
Wearing an overcoat to keep out the chill, the Spaniard was wise to the elements. His Wednesday side - the only team in the English Football League without a point to their name so far this season - were badly in need of a victory and hopefully, a bit of conviction and authority.
They were facing a Mansfield line-up who, by contrast, were having a much more fun time of it in August.
The enjoyment, refreshingly, for the most part came from Wednesday.
But the dark clouds would eventually descend and Munoz's side would lose out on penalties, with a miss from Liam Palmer proving fatal as Wednesday bowed out 5-4 on spot-kicks.
It enabled Mansfield to win at Hillsborough for the first time since April 1979, when Gloria Gaynor's 'I Will Survive' was at number one.
Should Wednesday have a bad day at Leeds on Saturday and results do not turn in early autumn, you do wonder for Munoz's chances of survival.
That said, this was a game Wednesday should have won.
After taking a merited lead thanks to Anthony Musaba's first goal for the club, a combination of the woodwork, impressive keeping from Christy Pym and the Owls' lack of killer edge in front of goal revived Mansfield.
An irritant of a substitute in Rhys Oates levelled late on.
Penalties arrived, as they did in the previous round against Stockport, but there was no triumphant repeat. Subs Will Vaulks and Palmer missed for the hosts and the Stags held their nerve.
The onus was on Wednesday, as the higher division side, to dictate and impose themselves on their lower-division opponents from the start and curb their enthusiasm. To be fair, they did just that from the start.
Their first-half offering was pleasing. The early noise from Mansfield’s 2,000-plus following started to dissipate and most of the activity was towards their goal.
That Wednesday mustered 15 efforts on goal, with five on target was testament to that.
There was intent and vigour from the Owls to make things happen, with Josh Windass at the heart of it and fittingly, he was involved in the breakthrough on 28 minutes.
His deep cross on the right picked out Callum Paterson, whose intelligently guided header across goal sat up on a plate for Musaba to convert from close range with his header. .
Windass ended the half with the sort of sublime touch that he has in his locker. His angled drive hit the woodwork after a surging run from the energetic Pol Valentin. It was a nice end to an encouraging half.
Mansfield were a little disappointing. Their best moment came from a switch off centrally from the hosts.
Six-goal Davis Keillor-Dunn was given the sort of space that you should not give to a player in such form, but he fired over from an inviting position where he should have done better.
While playing a part in the opener and hitting the bar, Windass also tested Pym at his near post with a sharp header.
After some healthy pass-marks, it was about sustaining it on the resumption, playing in front of a deserted Kop, always such an incongruous sight.
You wanted more from some, including Ashley Fletcher.
Mansfield could not complain about getting more from keeper Pym, who showed splendid reaction to scoop away Michael Ihiekwe’s header, low down, early in the second period before beating out a fierce drive from Windass, who looked positively ravenous in his quest to score.
The onus was on Wednesday to show their ruthless side and finish off the tie and provide themselves with a much needed boost.
They didn’t and were handed a warning when Jordan Bowery powered forward before seeing his shot fly just over.
A major scare soon arrived when Oates was sent clear, only to slot wide, in a let-off for Wednesday, who were starting to make the night not straight-forward, as they have been inclined to do since the spring.
Famewo then atoned for an error to make a key last-ditch challenge to deny Oates before Wednesday called for experience - and hopefully a second settling goal - from Michael Smith and Lee Gregory.
It nearly arrived from another replacement in Juan Delgado, whose header hit the post.
Unfortunately, the next development came at the other end and Oates was not disheartened by his earlier blemishes - firing home a clinical low shot past Dawson to level it up.
It changed the complexion of the night, unfortunately. There were some jeers at the final whistle and after the penalties.
Sheffield Wednesday: Dawson, Iorfa, Ihiekwe, Famewo, Valentin (Palmer 81), Bakinson (Vaulks 81), Bannan, Paterson (Delgado 65), Musaba (Gregory 71), Fletcher (Smith 71), Windass. Substitutes unused: Vasquez, Bernard, James, Gassama.
Mansfield Town: Pym; MacDonald, Brunt, Flint, Bowery; Maris, Reed; Clarke, Keillor-Dunn, Akins (Oates 61); Swan. Unused substitutes: Flinders, Cooper, Williams, Abdullah, Carter, Wauchope, Kruszynski, Turner.
Referee: S Singh Gill (Wolverhampton).