Leeds take on Bath at London's famous ground before trying to make up a nine-point deficit in the Friday match at Headingley.
Leeds, with former Bath players Iain Balshaw and Mark Regan in their lineup, make their first final appearance this Saturday, but have been buoyed by victories over heavyweights Leicester and Gloucester in their past two matches.
"Obviously it's going to be a massive occasion but we need to make sure that we go out and perform, that's the most important thing," said coach Davies.
"You can't get wrapped up in the occasion, you only enjoy cup finals if you play well and come off the field knowing you have done everything possible to help your side win."
The Leeds side is: I Balshaw (capt); A Snyman, P Christophers, C Bell, T Biggs; G Ross, A Dickens; M Shelley, M Regan, G Kerr, S Hooper, T Palmer, S Morgan, R Parks, A Popham.
Worcester, meanwhile, face a tough trip to Welford Road to take on London Wasps in the Zurich Premiership on Sunday.
Team: T Delport; D O'Leary, D Rasmussen, T Lombard, B Hinshlewood; J Brown, M Powell; T Windo, A van Niekerk, N Lyman, P Murphy, C Gillies, S Vaili, P Sanderson, D Hickey.