Michael Tonge broke the deadlock with a terrific free-kick, arching into the top corner from the edge of the area.
Ade Akinbiyi doubled the lead with a wonder volley, hammering the ball past Chris Adamson after Peter Gilbert had misjudged Chris Armstrong's long ball.
Steve MacLean pulled one back from the spot after Chris Morgan fouled him, but the Blades held on for victory.
Sheffield United boss Neil Warnock:
"It was a great team performance. It's just a fantastic feeling to come to Hillsborough and win 2-1.
"There's no tougher game than coming to Hillsborough against the enemy.
"I was told last week that Chris Morgan would not be available all week - but what a performance."
Sheff Wed: Adamson, Simek, Gilbert, Coughlan, Bullen, Whelan, O'Brien, Folly (Partridge 63), Brunt, MacLean, Best (Tudgay 59).
Subs Not Used: Kirby, Collins, McAllister.
Booked: Tudgay, Simek.
Goals: MacLean 80 pen.
Sheff Utd: Kenny, Morgan, Kozluk, Armstrong, Collins, Jagielka, Ifill (Geary 85), Montgomery, Tonge, Akinbiyi (Flitcroft 90), Dyer (Horsfield 82).
Subs Not Used: Barnes, Kabba.
Goals: Tonge 38, Akinbiyi 45.
Ref: N Miller (Durham).