Having not been involved in continental action for 22 years, the Welsh club avoided any slip-ups in their third qualifying round meeting with Malmo, with a 4-0 home win being followed by a goalless draw in Sweden on Thursday night.
Swansea still need to negotiate the play-off round if they are to secure a place in the group stages of the tournament, but have been handed a favourable draw against Romania's Petrolul Ploiesti.
Success in that two-legged clash would allow Swans' fans to start dreaming of a place in the latter rounds of the Europa League, but their Danish manager is keen to keep the pressure off his players.
"You take it step by step, we have two domestic cup competitions plus the Europa League and the Premier League," he said.
"We could set a target and say it would be nice to do this or that, but you cannot do that.
"Now we are at the play-offs and hopefully we can get to the group stage and have six group games.
"But you can only play one game at a time. When I was in this competition with Getafe (who reached the quarter-finals in 2008) we had a terrible start to the league season but we suddenly picked up results in Europe against teams like Tottenham and Anderlecht.
"We then went on and played teams like Benfica and Bayern Munich, but that was unexpected. You don't know what can happen so you go step by step.
"It would just be fantastic for the players and the club to have more European games to help them in the present and the future."
One of the most pleasing aspects of the victory over Malmo was the manner in which Laudrup's summer acquisitions gelled into the starting line-up.
Record signing Wilfried Bony, midfielder Jonjo Shelvey and defender Jordi Amat made impressive contributions in the handsome first leg win, with former Real Betis duo Jose Canas and Alejandro Pozuelo showing some accomplished touches in the away fixture.
Laudrup knows it will be difficult to surpass last season's achievement of securing silverware and a ninth place league finish, but he has no doubt he is dealing with a stronger squad of players.
He said: "I could see straight away after 10 days of our pre-season trip to Holland that we were in better shape than last year.
"The players came back after more than six weeks off and looked good after just a week of training, they slotted straight back in.
"With these two games we have been able to give our new signings 90 minutes, we know it will take a few games to settle in properly but they have already showed they are adapting. We can always improve but it will come with time.
"We knew if they all played together at the same time it would not be so easy, but if it is one or two it is easier.
"In Malmo, for example, we had Canas, Pozuelo and Bony, so that is just three of them.
"It's going well, they are adapting well to the system. They play football the way we like to."