The Blades host Swindon Town in front of what is sure to be a partisan Bramall Lane crowd before heading to Wiltshire for the return on Monday night.
With a truly woeful record of never having prevailed in seven previous play-off attempts, United will be looking to claim a precious advantage on home soil.
Clough, however, is at pains to stress that no matter how well or badly the first leg goes in the Steel City, there is every chance that the tie will not be settled until the final stages at the County Ground – and that cool heads will be needed both on the field and in the stands.
“I have only been involved once in the play-offs,” the Blades’ manager told The Yorkshire Post. “It was at Burton (in the 2008 Conference play-offs).
“We did very well and were 2-0 up at home to Cambridge in the first leg (with less than 15 minutes to play).
“But we conceded a dodgy penalty and a deflected free-kick. Then we went down there and lost the second leg 2-1. One of their goals was a cross that went in at the far post.
“We felt a little bit unlucky over the two games, but that is what happens in play-offs. Luck can play a part, as can mistakes.
“That experience at Burton shows that nothing will be decided early on, no matter how things are going.
“Cambridge got two goals in five minutes and it went from us being strong favourites to them being favourites. That shows how things can change.
“The key is to be patient. That is the message; games can change all the way through.
“It might come down to the last 10 minutes at Swindon on Monday night before anything is decided.
“Very few semi-finals are decided in the first leg. I don’t think, with all the will in the world, anyone is going to win 4-0 and make it ‘game over’.
“The real one will be Monday’s second leg. But we have to put ourselves in a good position for that game.
“Mark (Cooper, Swindon manager) will be saying the same to them. We want to go with a lead, but if we can’t then we need to avoid defeat.
“That is what I mean by needing to be patient – like everyone was against Spurs (in the Capital One Cup semi-final).
“We were 2-0 down (on aggregate in the second leg) and seemingly out of the tie. But we got one goal back and everything changed.
“Spurs looked a different side for 10 minutes and were rocking. That is the effect the crowd can have. Our place lifts us.”
United are hoping for a bumper crowd tomorrow night as the club look to win promotion from League One at the fourth attempt.
Two previous attempts have ended in play-off heartache, courtesy of Huddersfield Town’s penalty shoot-out triumph at Wembley in 2012 and a semi-final loss to Yeovil Town a year later.
To bring Championship football back to the Lane next August, Clough’s men will first have to see off a team that finished one place and eight points higher in the regular season.
Then, on Sunday, May 24, either Preston or Chesterfield must be disposed of at Wembley.
On the impending semi-final, Clough added: “Swindon have had a better league campaign than us so, no, we are not favourites. They are just favourites based on that.
“Plus, Mark has known he has been in the play-offs for a lot longer. He has literally changed his team from week to week, making nine changes in the last couple.
“That can lead to a false representation as a team. They are better than what has been shown.
“Swindon were going for the top two, but I think the disappointment of missing out applies more to Preston, because of how they missed out on the last day.
“I don’t know what the mood is like in the Preston camp, but I’d imagine missing out on the final day will affect them a little bit more, especially with the quick turnaround.
“But, you never know, they might use it as inspiration. It won’t affect Swindon missing out.”
Jamal Campbell-Ryce returns to the Blades’ squad following his return from a loan spell at Notts County, but he is unlikely to make the 18 tomorrow.
Clough continued: “You can’t afford to make mistakes. Arguably – and I am not blaming him – Jay McEveley made a small mistake at White Hart Lane with a penalty (for a needless handball) and it cost us the tie over two legs.
“No other mistakes were made in the game or the goals were very good. So that one mistake decided the tie. We can’t afford to make any in this tie.
“No one means to make mistakes, but they do in games like this. It will be the team who makes the least who will go through.”
Cup adventure spur: Page 24