Two goals from Chris Sedgwick and one from Mark Beevers saw the Owls beat Oldham Athletic 3-2 on Tuesday night at Boundary Park.
Beevers headed the Owls in front inside three minutes from Gary Teale's corner and Sedgwick doubled the lead on 12 minutes, tapping home from close range.
Oldham pulled a goal back midway through the first period when Filipe Morais' shot from outside the area nestled into the back of the net after taking a deflection off Clinton Morrison and a stunning strike from Dale Stephens evened the contest before the break.
But seven minutes after the restart, Sedgwick doubled his own tally heading home from Tommy Spurr's cross which sealed the points for Wednesday.
Wednesday made a bright start and got their noses in front after just three minutes through Beevers.
Following some good early pressure, the Owls forced Oldham to put behind for a corner and Wednesday made it count, as Teale's centre picked out Beevers, who headed beneath Latics' keeper Ben Amos.
Wednesday doubled their lead ten minutes later as Sedgwick profited inside the six yard box from Teale's cross.
Excellent work up front Gary Madine kickstarted the attack as the striker fended off Oldham captain Reuben Hazell to win possession when the forward seemed second favourite.
From then, Madine played a neat ball into the path of the onrushing Teale, whose centre took a deflection off the Oldham keeper before Sedgwick applied the finishing touch.
But the Owls were dealt a blow on 18 minutes when Madine left the field through injury and was replaced by Clinton Morrison.
Oldham then halved the deficit when Morais took a pot-shot from 25 yards which flew past Nicky Weaver into the bottom corner, via a big deflection off Clinton Morrison.
The home side had rarely threatened beforehand but that goal seemed to help Paul Dickov's side settle into the game.
Wednesday looked dangerous from set pieces, though, and came close five minutes before the interval from another Teale corner, but Reda Johnson's glancing header went the wrong side of the post.
But moments before the break, Oldham levelled with an outstanding strike from Stephens.
The midfielder had threatened from a similar distance earlier in the half and gave Weaver no chance this time, drilling his shot high into the top corner from 20 yards.
After an eventful first half, the second period started in the same fashion and the Owls regained their lead on 52 minutes, with Sedgwick grabbing his second of the game.
A superb cross from Tommy Spurr on the left was flicked on by Reda Johnson and Sedgwick was handily-placed to head past Amos from six yards.
Wednesday continued to cause Oldham problems from both flanks and Sedgwick's whipped ball in from the right picked out Michael Morrison who couldn't get a strong enough connection with his header.
Oldham went in search of the equaliser and Stephens once more tried his luck from distance but his piledriver effort crashed into his own team mate, Oumare Tounkara, and out for a goal kick.
The hosts had a good chance to get back level when Kieren Lee had a clear sight of goal from Ritchie Jones' cross but side-footed his shot wide of the target.
Wednesday were able to see out the final few minutes of the match to claim a good victory against Oldham in front of over 1,300 Wednesdayites.
Oldham: Amos, Hazell, Jones, Taylor (Reid 84), Lee, Stephens, Black, Morais, Tounkara, White (Alessandra 76), Trotman
Unused substitutes: Brill, Todd, Mantom, Feeney, Evina
Owls: Weaver, M Morrison, Beevers, R Johnson, Spurr, Teale, Osbourne (Potter 85), O'Connor, Miller, Sedgwick, Madine (C Morrison 18)
Unused substitutes: O'Donnell, Jones, J Johnson, Mellor, Heffernan