Chelsea meet Tottenham at Wembley.
Courtois said: "I don't think I've ever been involved in a shoot-out. No, just one time for a friendly tournament with Atletico.
"But we all work with the goalkeepers' coach, we do our thing in practice. We will be prepared if it's going to penalties.
"With all the videos and images you can watch nowadays, you try and analyse what they're like more and more."