The Baby Whites were cruelly knocked out in the third round 4-3 on penalties, having shown fantastic character to score a 90th minute equaliser through substitute Will Abbotts to send the game to extra time.
With Wanderers unable to find the all-important third goal however, the tie went to spot kicks with United claiming a fourth round spot after converting all of their penalties.
Despite their exit from the competition however, coach Lee was pleased with the way his side battled from start to finish and had nothing but positive things to say about his young squad.
“Penalties are a lottery and every credit to Sheffield United, they scored their goals,” he said. “What was pleasing was after the first ten minutes when we had the two opportunities, thoughts start coming in as to whether luck going to go against us.
“Because we didn’t score an early goal we were always going to be susceptible to counter attacks and when Sheffield United scored, I thought the character of the players was very good.
“Even though we went into the break one goal down we were still in the game and the players showed great character to come out in the second half. They created another couple of opportunities, likewise so did we but Sheffield United hit both the post and the bar which happens in football.
“Right at the end we scored a wonder goal through Will Abbotts and he made a real impact when he came on from the substitutes bench. It was a positive night for Will.”
He added: “We were a young side tonight but the lads did themselves credit and the attitude the boys showed by not giving up was superb.
“Yes, we lost the game but tonight’s experience will stand them all in good stead with their development.”