Cardiff's Millennium Stadium was the venue for both those previous triumphs against Biarritz Olympique and Toulouse and fortune may just be pointing in Munster's favour once more as the Welsh capital again hosts the Heineken Cup Final in 2014.
And while past achievements lead to added expectation as the 19th Heineken Cup prepares to get underway the weekend after this, Penney believes his boys are ready to add to Munster's European success story following their semi-final showing last time out.
"A lot of our younger players were watching when the teams of 2006 and '08 were doing the business and they understand what it took to get there and they're trying to emulate it. This team can go on to create its own history," said head coach Penney.
"Sometimes expectation and previous performances can become a burden, but that doesn't mean that we're not aware of the club's great tradition.
"We're making good progress and as a management group we're happy with the direction we're going in.
"We're going to Edinburgh first up, and you underestimate anybody at your peril in this tournament. We lost recently to Treviso in the Rabo, so any team can beat another team on any given day if you don't quite get the detail right.
"Speaking of history, we've got Gloucester this time and of course I've heard about the Miracle Match in 2003. The rivalry between Munster and a lot of the English clubs in Europe is huge. We won't be making a big deal of that in the build-up on this occasion, though."
Munster also face French side Perpignan in the December double header but all thoughts are currently on a domestic derby with Leinster this weekend.
The mouth-watering match up with the triple Heineken Cup kings at Thomond Park on Saturday should offer the perfect preparation for the Pool 6 opener with Edinburgh at Murrayfield, especially as British & Irish Lions scrum-half Conor Murray is all set for his first start of the season.
"Conor's grown into one of the best half-backs in the world and his influence on us can't be understated. When it comes to the big games you need your big boys to step up and Conor's one of those now. Conor coming back now is a real boost for the group," added Penney.
"I think the intensity of this derby game is right up there next to Test rugby and top-end Heineken and when you're playing a side like Leinster, with all the gifted athletes they have in the group, you're going to have to be at that intensity to be challenging for the points. We're very keen to set down a little marker to say, 'Munster's here and ready'."