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Although it was two hours of football before the decisive penalties, with just four minutes gone Everton had a chance from the spot.
Alex Culvin brought down Jody Handley but Fara Williams miss-hit penalty was saved by Carly Telford.
Leeds' best chance fell to Olivia Thackray after ten minutes but she blazed over from Steph Houghton's cut back, whilst Natasha Dowie narrowly hooked a shot wide five minutes before half time.
Everton introduced Toni Duggan and Jo Potter into the fray in the second half, and the latter almost put The Toffees in front with four minutes remaining.
Natasha Dowie's diagonal pass was stepped over by Williams but Potter's shot was blocked by Telford, Jess Wright clearing off the line.
Dowie then had a shot well saved by Telford two minutes later and then Telford again pushed away a Potter free-kick at full stretch on 89 minutes.
In the first period of extra time, Danielle Hill in the Everton goal made a fantastic one handed save from Katie Holtham's fierce rising shot, to keep the scores level as the spectre of penalties loomed.
Everton then came back again, and on 111 minutes, Telford magnificently tipped Jody Handley's low driven shot from 25-yards round the post.
So penalties it was, and Sue Smith stepped up to seal Leeds' cup final appearance, and remarkably, the Yorkshire side's third penalty shoot-out victory in the competition this season.
Everton Ladies: Hill, Easton, Unitt, Williams, Westwood, Johnson, Handley, Scott, Dowie, Kane, Evans.
Subs: Duffy, Hinnigan, Duggan, Boyle, Potter.
Leeds Ladies: Telford, Emmanuel, Bradley, Wright, Culvin, Moore, Walton, Houghton, Thackray, Smith, Barr.
Subs: Adams, Bonner, Sutcliffe, Clarke, Holtham.
Source - TheFA.com