FA Cup Preview: Reading v Arsenal
The holders endured a couple of wobbly moments in ending their nine-year trophy drought last term, falling behind against Wigan Athletic in the semi-final and Hull City in a thrilling five-goal final.
But Wenger is confident his side will not be blighted by a slow start versus a Reading side who sit 18th in the Championship, having failed to win since their quarter-final replay success over Bradford City.
"I believe that's an aspect where we have improved. We have stronger starts now than we did a long time ago," the Frenchman said.
"We have learned as well, from last season. We were a little bit apprehensive in both the semi-final and the final.
"Maybe that experience can help us on Saturday. Of course in both game we were down and in competitions like that you have a mountain to climb when you chase the score.
"They have players with Premier League experience, they are very efficient and I believe for us they can be danger.
"Once you're at Wembley it would be absolutely non-intelligent to just turn up and think we will win the game. We know exactly what can happen and I think the team will have the focus needed."
Wenger's opposite number Steve Clarke also has experience of FA Cup success, having been a member of Jose Mourinho's backroom staff when Chelsea lifted the trophy in 2007.
The Scot is yet to claim silverware as a manager as Reading prepare to face top-tier opposition for the first time in their run to Wembley.
Other than League One Bradford, Reading have only faced fellow Championship sides and Clarke warned of the need to avoid costly mistakes when they face an outfit of Premier League class.
The former West Brom boss also expressed frustration at the scheduling of Saturday's tie, which kicks off just 10 minutes before the Premier League clash between Chelsea and Manchester United.
"We can't make too many mistakes because if you make mistakes against the top teams they punish you," he said.
"There are things that we should do to protect this great competition. It should be special.
"The only game I'm interested in is Reading against Arsenal. I thought it was a shame in the last round when we had to play on the Monday night [beating Bradford, 3-0], after playing on the Saturday.
Arsenal will be without Alex Oxlade-Chamberlain (hamstring) and Mikel Arteta (ankle), while Anton Ferdinand (calf) is absent for Reading, but Pavel Pogrebnyak and Nathaniel Chalobah have been passed fit.