The Spireites enjoyed a break from their league travails with a victorious first visit to the new Wembley, where a second-half own goal from Oliver Risser and an injury-time strike from substitute Craig Westcarr earned them a 2-0 win over Swindon.
Chesterfield are currently seven-points adrift of safety at the bottom of the npower League One table, and Sheridan said: "I think it will help us in the league - it certainly won't do us any harm. But I won't get carried away. It is great for the supporters because it is a trophy but I know where my priorities stand. I am desperate to stay in the division and I think we are good enough to stay in it."
Sheridan added: "I am very proud at the moment. I am lucky enough to have won, and scored, here as a player (in the 1991 League Cup final with Sheffield Wednesday).
"To do it as a manager makes me proud and I am proud for everyone involved with the club, especially the supporters because they have not had a lot to cheer about this season. It is a great achievement.
"I said to the players at half-time to believe in themselves more and go out and play. And I thought we dominated the second half."