The home side could and should have taken the lead, only for ex-Blade Lee Evans to somehow fire wide from six yards with the whole of the goal to aim at.
And they were made to pay a high price with the visitors underlining their superiority up front with three unanswered goals.
United made a fine start and might have led from their first attack, but McGoldrick cut back inside instead of shooting, before being crowded out.
Wigan midfielder Evans – whose permanent switch to the DW Stadium from the Blades was made permanent this morning – then intervened to break up another promising United break and only good defending from Chey Dunkley prevented Duffy from getting a shot in.
At the other end, a Reece James cross aimed for Joe Garner was headed just over his own bar by Martin Cranie before Wigan squandered a gilt-edged opportunity to go in front.
A Gavin Massey shot was parried out by Dean Henderson to Evans, who failed to hit the target with the goalkeeper on the deck.
And Wigan were punished for their profligacy with the Blades taking the lead with five minutes of the first half remaining.
The home side couldn't clear a corner and Christian Walton parried the ball out to McGoldrick, who lashed home from 10 yards.
Wigan were fortunate to get to the break without further damage as the visitors gained a real stranglehold on proceedings.
McGoldrick raced clean through and was just about to shoot before, out of nowhere, Dunkley came across with a fine challenge.
And a stinging strike from Oliver Norwood from distance beat Walton only to clip the post on the way past.
But the second goal was coming – and it duly arrived within three minutes of the restart.
A Wigan corner was pouched by Blades goalkeeper Henderson, who booted it long towards Sharp, one-on-one with Darron Gibson.
The striker showed great strength to win the ball and hold off Gibson before teeing up the supporting Duffy and he slotted past Walton.
Wigan's response was to throw on Josh Windass and Callum McManaman, but 2-0 became 3-0 after 54 minutes.
This time it was Sharp – who fired a hat-trick in the corresponding fixture at Bramall Lane in October – that scored, beating Walton from close range with a clinical finish.
And the rest of the game was little more than a training exercise for the Blades, with not even the late introduction of Will Grigg throwing Wigan a lifeline.