Newby pounced in the 92nd minute and Thompson was on target 13 minutes later as Football League newboys Morecambe collected their second Championship scalp of the competition having won at Preston in the first round.
Sammy Mcllroy's side had looked set to win in normal time when Carl Baker struck from the spot in the 61st minute only for Andy Keogh to equalise with a penalty of his own seven minutes from time.
But battling Morecambe were not to be denied and substitute Newby struck with a goal that was a nightmare for Wolves' on-loan Reading goalkeeper Graham Stack.
Newby hardly got any power on his shot from 12 yards after he was picked out by fellow substitute Matthew Blinkhorn but Stack
somehow let it slide through his fingers.
Thompson then dashed Wolves comeback hopes in the 105th minute when he raced on to a Baker pass and calmly lifted the ball over Stack
Charlie MacDonald scored one and made another as Southend dumped Watford out.
The summer signing from Ebbsfleet opened the scoring after 20 minutes with his first goal in a Shrimpers shirt and then turned provider for the second, teeing up Matt Harrold to scored from close range.
Northern Ireland international Stuart Elliott scored the only goal of the game as Hull City won at Wigan Athletic.
But keeper Boaz Myhill was the other Tigers' hero, making a series of excellent saves in a top class performance, the last in the dying minutes from Michael Brown.
And Wigan missed the chance to force the tie into extra time when Nigerian international Julius Aghahowa - still without a goal seven months after his £2million arrival - hammered a gilt-edged chance wide.
Charlton Athletic were given a massive fright by Stockport County before reaching the third round of the competition with a 4-3 home victory.
The Addicks seemed to be cruising through when they led 2-0 at half-time.
But the underdogs, in a scintillating 15-minute spell in the second-half, scored three goals to turn the tie on its head and it looked as though they may pull off a shock result before the home side's class told with a last-minute winner to finally shatter brave Stockport's hopes of glory.
Charlton took the lead on 36 minutes with a great 25-yard volley from their Bulgarian international Svetoslav Todorov and increased their advantage with a twice-taken penalty.
Izale McLeod was brought down in the area and took the spot-kick himself. It was saved by Stockport goalkeeper Conrad Logan, but referee Andy Hall ordered the kick to be retaken because of encroachment and this time Charlton's Chinese international Zhi Zheng stepped up to fire the ball home.
Nobody could have expected Stockport's onslaught as first Adam Proudlock brought them back into the game and Anthony Elding then equalised, both goals being scored from close-range.
The small army of Stockport supporters then went mad as Dominic Blizzard fired them into the lead with 21 minutes to go.
But there was still drama to come in this thrilling Cup-tie after Todorov had hit the bar with another fine shot, Charlton's Lloyd Sam equalised direct from a free-kick after he himself had been fouled.
With extra-time looming Charlton snatched victory when Sam's corner was powerfully headed into the net by defender Paddy McCarthy.
And Wigan missed the chance to force the tie into extra time when Nigerian international Julius Aghahowa - still without a goal seven months after his £2million arrival - hammered a gilt-edged chance wide.
Charlton Athletic were given a massive fright by Stockport County before reaching the third round of the competition with a 4-3 home victory.
The Addicks seemed to be cruising through when they led 2-0 at half-time.
But the underdogs, in a scintillating 15-minute spell in the second-half, scored three goals to turn the tie on its head and it looked as though they may pull off a shock result before the home side's class told with a last-minute winner to finally shatter brave Stockport's hopes of glory.
Charlton took the lead on 36 minutes with a great 25-yard volley from their Bulgarian international Svetoslav Todorov and increased their advantage with a twice-taken penalty.
Izale McLeod was brought down in the area and took the spot-kick himself. It was saved by Stockport goalkeeper Conrad Logan, but referee Andy Hall ordered the kick to be retaken because of encroachment and this time Charlton's Chinese international Zhi Zheng stepped up to fire the ball home.
Nobody could have expected Stockport's onslaught as first Adam Proudlock brought them back into the game and Anthony Elding then equalised, both goals being scored from close-range.
The small army of Stockport supporters then went mad as Dominic Blizzard fired them into the lead with 21 minutes to go.
But there was still drama to come in this thrilling Cup-tie after Todorov had hit the bar with another fine shot, Charlton's Lloyd Sam equalised direct from a free-kick after he himself had been fouled.
With extra-time looming Charlton snatched victory when Sam's corner was powerfully headed into the net by defender Paddy McCarthy.
Geoff Horsfield's extra-time winner saw Sheffield United edge to a 3-2 win at MK Dons after exr-time.
The 33-year-old striker pounced on a spill by Dons goalkeeper Nathan Abbey in the 103rd minute to settle a topsy-turvy five-goal thriller at stadium:mk.
The 33-year-old striker pounced on a spill by Dons goalkeeper Nathan Abbey in the 103rd minute to settle a topsy-turvy five-goal thriller at stadium:mk.
Norwich edged past Rochdale after a 4-3 penalty shootout success at Deepdale after the match finished 1-1 after extra-time, Blackpool knocked out Premier League side Derby 7-6 on penalties after their tie finished 2-2 following extra-time.
Championship sides Burnley, Cardiff, Crewe, Plymouth, Norwich and Sheffield Wednesday all booked their places in the third round.
Leicester's tie at Nottingham Forest was abandoned at half-time after Foxes defender Clive Clarke collapsed - click here for full story
