A mid-season blip ensured that they would play their European quarter-final away from home and they paid the price as a result, going down to Saracens earlier this month.
But in the RaboDirect PRO12 they are back on form after an impressive win over Leinster in Dublin before easing past Newport Gwent Dragons last time out.
That saw Ulster regain top spot in the table and Gilroy is determined to make sure his side's early season form was not in vain.
"If you look at the Leinster game, I thought it was the best performances not only this season, but that I've ever been involved in in an Ulster jersey," Gilroy told the Irish Independent.
"The Saracens game was disappointing, because we have the players.
"The Heineken Cup may be regarded as a bigger premier competition but the Pro12 is not something we would see as second best at all. We'd love to go the whole way and finish the season on a high.
"I'm dying to get something. We've put in a lot of work in the last few seasons and have come so far as a team. I think we deserve it."