The Latics need to beat Arsenal tonight or they'll be relegated from the Premier League.
And McCarthy said: "It's an unbelievable feeling, just a massive achievement. It's a dream.
"But we need to keep going and working just as hard because we have two more massive cup finals to come in the league.
"But what happened on Saturday is something you dream about as a kid. Getting the chance to play at Wembley and to end up lifting the FA Cup is just a massive achievement for myself and my family. It's brilliant. I am so happy about it, but the most important thing now is that we stay in the league.
"There were no real celebrations because we were back into training on Sunday. Hopefully, we will be able to celebrate next week by staying in the Premier League."