Noel Hunt gave Reading a fifth-minute lead, but United came in to the game in the following half-hour only to see Mikele Leigertwood give the home side a two-goal cushion with a fine 25-yard drive against his former club.
Hunt's second, and a second-half strike from Garath McCleary, put the result beyond doubt in the second half. Had Chris Porter, Nick Blackman, Ryan Flynn and Kevin McDonald all taken their chances, United could have taken their hosts back to Bramall Lane for a replay.
And for that reason, Wilson said: "We are disappointed.
"We take nothing away from the striking prowess of Reading. But the goals we conceded were poor - the first one in particular and the one just after half-time.
"I think the scoreline was a bit flattering but they have taken their chances. We had as many chances but just didn't convert them."
Blackman was United's best player by far, causing the Reading back line all sorts of trouble thanks to his pace and power.
Crystal Palace have made a bid to sign the 23-year-old former Blackburn man, but Wilson wants him to stay.
"We have had a bid for him, but he is still our player," Wilson said. "Whether that will change before Thursday, I don't know.
"I would like him to stay but obviously circumstances will prevail. He is a very good player."
- Sports & Recreation
- Nick Blackman