The 35-year-old, signed by manager Phil Parkinson in the summer, lost in the 2008 League Two play-off final with previous club Rochdale.
The Liverpool-born midfielder experienced semi-final disappointment the following season with Rochdale against Gillingham and was given the runaround at Wembley in February when Bradford were thumped 5-0 by Swansea in the Capital One Cup final.
"I've been in the play-offs twice before without any success," Jones said. "I lost in the final and lost in the semi-final as well, so I know how heartbreaking it is to lose.
"The final was against Stockport and we lost 3-2 and we lost 2-1 against Gillingham in the semi-final. It's not a good experience.
"This has been a long, hard season and to lose one game of football at the end of it would be heartbreaking.
"So may be this time. May be it's third time lucky at Wembley for me to get my hands on some silverware.
Jones, voted Bradford's player of the year in his first season at the club, said victory on Saturday would represent the high point in his 17-year playing career.
"It would be the pinnacle of my career, with us getting to the Capital One Cup final as well," he added.
"To go back to Wembley and get promoted, I think it would definitely put the icing on the cake."