They will be up against Leicester, who are top of the Guinness Premiership and also in the semi-finals of the Heineken Cup where they will face Llanelli Scarlets the following week.
"It is a chance to go up to Twickenham and win. I have never done that before and it is certainly something I would like to experience, and with the Ospreys as well," said Williams.
"We came close before against Leicester last season and we should have won that game at home. We cannot go up to Twickenham doubting that we can beat them, they are a good side but we have got to keep that mindset going into this game.
"We were gutted to be out of the Heineken Cup having only lost one match, that does not happen often, we certainly deserved something out of that but hopefully now we have got to the EDF final we can win it and achieve something from the season."
Last season the Ospreys lost 17-15 at the Liberty Stadium to a last minute Leicester try, and were beaten 30-12 at Welford Road in the first tie between the teams.
Williams believes they have learned the lessons from those defeats. "We have come close to beating Leicester in the past, so we are more than capable of beating them," he said. "Week in week out we train differently for different teams and we know we have a lot to work on before we play Leicester.
"Leicester are playing well at the moment, they are doing well in the Heineken Cup, and they have got the EDF Energy Cup so they have a busy time but they will be full confidence.
"It is a big ask but we are certainly more than capable of beating Leicester, we know that, and what better time to do it than at Twickenham? We have got a good squad so we know that whatever side we put out will do their job - there is a good feeling here.
"We have played well the last couple of months and had a couple of games we felt we should have won. We have got a lot to play for at the moment and that is great for motivation."