Leinster take on Northampton tomorrow followed by Munster a week on Saturday as they look to become the first team to achieve European and Magners League glory in the same season.
But while O'Brien says he and his team-mates are delighted to be competing for the two biggest prizes this season, he admits it will all count for nothing unless they finish the year with silverware.
"We have had a brilliant season so far and we are exactly where we wanted to be - in the finals of both the Heineken Cup and the Magners League - but we have nothing won yet and we still have it all to do," O'Brien told ERC.
"We know what we have to do - we have to go out and win a trophy, it's as simple as that.
"There is a lot of excitement about the place thinking about what we could possibly do. But if we don't win something we will just be the same as everyone else - taking early holidays."
Leinster beat Ulster last weekend to clinch a Grand Final place for the second season running.
They travel to bitter rivals Munster on May 28 for what should be a huge battle at Thomond Park - a venue where they were beaten by a single point thanks to a last-gasp strike from Ronan O'Gara last month.
But first on the agenda is a European showdown with Northampton in the Welsh capital and O'Brien knows that any thoughts of Munster will simply have to wait if Leinster are to complete the first stage of their double.
"We face a huge physical task against Northampton and we will give them the respect they quite rightly deserve," added O'Brien.
"They have strengths all over the field and no real weakness but I guess their greatest strength is in their front row and pack where they have dominated teams in recent weeks.
"However, their back three are all very elusive and you cannot afford to kick poorly against them as their ability on the counter attack is a real threat.
"They have been very impressive in becoming the first team to reach a Heineken Cup Final unbeaten and they have had some massive performances to get there, against Ulster and Perpignan in the knock-out games in particular.
"But we are playing pretty well and we have hit some good form of late so we will be focusing on the way we want to play, on individual roles and those of the team."
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