The Parisian giants have endured a topsy turvy season domestically, finishing 11th in the Top 14, but the current crop of Stade stars now have the opportunity to end the season on a major high with a win in the Welsh capital.
And with a number of high-profile names expected to leave the Club at the end of this season, Cheika believes Friday is the perfect chance for those players to give next year's squad something to build on.
"I remember when I first met Jonno Gibbes, him telling me how the team that's playing this year should always be trying to give something to next year's team," said Cheika, who worked alongside ex-All Black Gibbes during his time in charge of Leinster.
"It's about building a culture. That's really something that's stuck with me.
"It's something we've talked about because there are a lot of guys leaving. There could be between 10 and 15 guys from the whole squad leaving this summer. They're desperate to leave something for the next year's team that they cam look back on with pride."
Victory at the weekend would bring Stade's year-long absence from the Heineken Cup to a welcome end and would give Cheika something to shout about following a difficult first season in Paris.
Stade had featured in the seven previous Heineken Cup campaigns and had developed a reputation as one of the continent's big boys.
And while Cheika admits that qualification for Europe's premier competition will not mean Stade become a great team overnight, the man who led Leinster to Heineken Cup glory in 2009 believes it would be an important step on Stade's road to success.
Perhaps just as importantly, victory against Quins would be just reward for a group of players who have shown their battling spirit despite being continually criticised in the French media and beyond.
"We've still got a long way to go because the 80 minutes in the Final is going to be pretty torrid and we'll have to have our heads on if we want to get anything out of it," added Cheika.
"But we've got a chance and it keeps the Club on the front foot. It's something to look forward to and there will be a big atmosphere with the two games in Cardiff.
"We've been criticised a lot this year about our character. People don't mind putting the boot in from the outside when things aren't going well.
"There's been a lot of stuff going on inside the Club but we've actually kept pretty solid as a team. Sure, we haven't played great all the time but that's a signal of where of our level is at the moment and we've obviously got plans to improve that.
"If we can give ourselves a chance to play in the Heineken Cup next year, then great. Qualifying is not going to solve lots of problems for us, though. There's no point just being it, we've got to be in a position to do well when we're in it."