Huddersfield had the better of the chances with Izzy Brown scraping the crossbar with a shot before halftime while Wednesday keeper Keiren Westwood made several vital saves.
Wednesday created virtually nothing but defended solidly throughout to keep a fourth successive clean sheet against Huddersfield for whom Chris Lowe also struck the woodwork.
The second leg will be played on Wednesday.
The winners will face either Reading or Fulham after they drew 1-1 at Craven Cottage on Saturday.
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Wednesday were beaten by Hull City in the playoff final last May.
(Reporting by Martyn Herman; Editing by Keith Weir)
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