The Latics' captain took heart from his side's resistance in the opening period before eventually conceding four in the second half to a rampant Red Devils side
Caldwell, 30, believes his side will take belief from the first 45 minutes, which ended goalless, only for the home side to crank up the pressure in the second half and come away easy victors.
|6/1||Wigan are 6/1 with William Hill to gain a 1-1 draw with Fulham next weekend
"We've got to think of the good things we did in the first half, take them into next week and not let ourselves get affected by the outcome of the game."
The Scotland international put the difference in his side's second-half display down to the risk they took in attempting to attack Sir Alex Ferguson's outfit and push for Wigan's first ever win at Old Trafford.
"We were well in the game," Caldwell added. "Perhaps we could have been a bit better when we were on the ball but, we caused them a lot of problems when we did break.
"Second half we didn't really get started as soon as you concede the first goal at Old Trafford you're always going to get put under pressure and we paid a massive price in the end.
"When you come here and you create opportunities you have to take them and make Man United pay because they push a lot of players forward."