In a captivating tussle played out in stifling humidity, the Dane hung tough in a nerve-shredding final set to win 7-6 (2) 3-6 6-4 under the lights at a heaving Rod Laver Arena.
"I'm still losing and I'm still waiting", she added with a wry smile.
"I was in this position at the French Open, so maybe I can make a better match", said Halep. "I'm never going to get that question again", she said with the trophy proudly by her side.
Wozniacki had won her last three meetings with the world No. 1, including a 6-0 6-2 thrashing at the WTA Finals in Singapore, and she got off to the brighter start, breaking for a 2-0 lead after some clean early hitting.
"I'm sorry I'm just taking a second here to hug Daphne [the trophy]", Wozniacki said. I didn't want to think too much about how it would feel to win before the match because that's like in case I don't, it's going to hurt even more. "When you go out there on Saturday, (today) you have everything to win".
It's taken her 11 years, 43 majors, 256 tournaments, 772 matches and untold hours of toil and tears to shed her tag as tennis's most accomplished talent without a grand slam win.
"I've been through a few injuries".
While she is in this sort of form, you couldn't bet against her doing it. She looked determined not to let her momentum slide but Halep, whose marathon matches appeared finally to be catching up with her, dug in with grit to save four break points in the third game of the second set. Williams announced she was pregnant in April and gave birth to her daughter, Alexis Olympia, in September.
Nothing would come easy for Halep, who saved further break points in a nervous service game before claiming the set with a risky dropshot that Wozniacki failed to deal with.
"I would like to thank my team, each of them", she said.
Halep, playing with an injured left ankle, rallied from a break down in the third set to lead 4-3 before her opponent took a medical time out.
The Daphne Akhurst Memorial Cup sat on the table beside Wozniacki at her post-match press conference. With so much pressure - a few hundred riding on the spin of the roulette wheel will hardly set her nerves jangling, especially with a career prize money of almost $27 million.
Caroline Wozniacki has broken her Grand Slam duck and is tipping her beloved Liverpool to taste Premier League title glory in the near future. Regardless of what happens now, I've done my best.