"It's going to be very tough," said O'Connell. "Leinster are a good side and are playing really well. But we will be at home and have to protect that. It's going to be a huge day for Irish rugby."
The colossal second-row was delighted as his team ground out an 18-11 victory over the Ospreys to book a place with Leinster in the final.
A try in either half from centre Danny Barnes paved the way to glory and O'Connell was pleased to see his side make amends for their Amlin Cup semi-final exit.
"We needed a performance," said O'Connell. "We've struggled in the last few games and needed to put in a performance and get a result.
"We were very disappointed with the semi-final loss two weeks ago. Sometimes you get caught up on trying to play the perfect game
"We probably left a few tries out there but we played well and put them under pressure.
"We were very patient in the first half that probably went in the second and we tried to force things a bit.
"But we have struggled against the Ospreys in the past so to put in a performance and dominate them as much as we did was great.
"We just needed to keep the scoreboard ticking over. We would've liked to have gone over for one or two more ties but our heads didn't drop and we kept at it."
The Munster and British & Irish Lions captain was particularly happy with the Munster scrum, an area the Ospreys have dominated in the previous meeting between the two sides.
"We struggled against them at times this year but our scrum did well and out lineout was good," added O'Connell. "The set-piece was good.
"We put a lot of work into the scrum and have had some really good sessions. We're really happy with that part of our game. We put in the hard work and it's paid dividends."
O'Connell was particularly pleased with two-try hero Barnes and reckons he will go on to great things in the Munster jersey.
"Danny is a very strong guy. He's very skilful and quick. But it's great to see his physicality. So many young players have the skills but he relishes the physical challenge and that's great for old guys like me to see.
"He can play anywhere. I'm not an expert on backs play but he's incredibly confident, has great skills and can play anywhere."
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