The Arsenal manager is determined to end a nine-year wait for a major trophy and knows the importance of coming away with a victory at Wembley against Steve Bruce's side.
Arsenal have been forced to do it the hard way, getting to The Final by playing the likes of Tottenham, Liverpool and Everton along the way, but they have shown their consistency throughout the competition.
Arsenal v Hull City
The FA Cup with Budweiser
5pm, Saturday 17 May 2014
Wembley connected by EE
Winners receive £1.8m
Runners-up receive £900,000
Live on ITV & BT Sport
By Marc Isaacs
And Wenger is now relishing the prospect of leading his side out under the Arch and making it a day to remember for the north London club.
Wenger said: "To be favourites means just one thing, it doesn't guarantee you anything.
"It just means if you turn up on the day of the game with a good performance, you have more chance to win. So let's focus on turning up with a great performance.
"I honestly don’t feel that there is any danger of complacency. We know the difficulty of the task. If you look at our run in The FA Cup, we had a hard run. We played against Tottenham, Liverpool, Everton, Wigan in the Semi-Final.
"Coventry was maybe a little bit easier, but overall if you look at the run we had, it was a very tough one. We have done all this and we want to finish it now. What is down to the quality of our club is the consistency and I believe on that front, we are better than most of the teams.
"It is an opportunity for us to crown our season and the overall achievement, if you look back on the season, will look better when we win it."
Watch highlights of Arsenal's Sixth Round win over Everton
The Gunners boss believes his side have learned a great deal from the last major final they played in at Wembley back in 2011, when they suffered heartache at the end of the League Cup Final by conceding a last-minute goal against Birmingham City.
And Wenger wants his players to enjoy the big occasion on Saturday and show the quality which has seen them secure Champions League once again next season.
The Frenchman added: "What we want, is to focus on the day of the game on the way we want to play football. Enjoy it and that is the best way to be at our best.
"The players have learned something through every season. I believe we want to finish the season very well.
"We have this opportunity in the last game of the season in England, it's a big game. Let's go for it and enjoy it."
Wenger has confirmed that England midfielder Jack Wilshere will be in the squad once again following his return from a long-term foot injury and expects him to be fully fit for the World Cup next month.
"How has he been this week? Good," he revealed.
"He works hard. He played 30 minutes at Norwich, that was planned and he came out well.
"I think if you ask me about the World Cup, he should have enough time to be fully fit."