I received a notification on my phone, sent out by the club. If you've got the Saints ticketing app on your phone (mine is a small red square entitled 'Saints Tickets, with two tickets - like playing cards, in the red square), tap/click on that and you'll be able to see your ticket (well, a gap where the ticket will appear, about 24 hours before the match).
If, however, you're expecting a paper ticket, then I suspect that their ticketing system isn't smart enough to only send notifications to digital ticket holders, so I'd assume (always dangerous) that your paper ticket will be where the club said they'd send/put it. I'd keep a record of your seat number, to show the Wembley ticket office.
Good Luck!