The Iron booked their place in the Wembley showpiece following a 7-6 win on penalties after their semi-final second leg encounter with MK Dons on Friday night had ended goalless.
It will be a second Wembley appearance for Adkins' side this season - they lost to Luton Town in the final of the Johnstone's Paint Trophy last month - and Adkins said that will stand them in good stead when they go head-to-head with Millwall.
"It was the first cup final in the club's history and now we have to draw on that experience and make sure we give ourselves a chance to win it this time," he said.
"It comes down to a lottery after a long season ultimately decided on a spot-kick, but we are pleased to get to Wembley and have the chance to get back to the Championship.
"We always fancy our keeper Joe Murphy to save one. He's been taking money off the other players all week."
Roberto Di Matteo, the MK Dons boss, felt his side had enough chances to win the tie.
"We are massively disappointed. It's been a long season and I thought we deserved to go through," he said.
"We had a slow start but we finished the first half well and I thought in the second half we were brilliant. They have quality players in their team so it was always going to be difficult but we had chances to win the game.
"It's important the players are confident enough to take a penalty but we were in the driving seat after they missed. It's a real shame. The players have been fantastic this season, they have given me everything and in the end it just comes down to destiny."