QPR won Saturday's final in the final minute.
"We'll get the players together and reflect on what we have achieved this season," said McClaren. "When we came in we never dreamed we'd be third with 85 points and top scorers.
"The key thing is the style. It takes courage because you have to take risks and sometimes we've lost because of that but most of the times we've won. We didn't win at Wembley but we have to keep that style because I enjoy watching it and the players enjoy playing it. The fans like the product.
"They're all the positives and there's only been one real negative and it's very cruel. We'll look at the examples of Leicester and Reading.
"They had disappointment and went on to get promoted the next season. It takes character. We've shown that for seven months - we have to show it again next season."
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