Llandovery's 20-19 semi-final win over regional rivals Llanelli means they are competing in the final of the Welsh Cup since the tournament first kicked off 32 years ago, and is the closest they have come to cup silverware since their semi-final appearence in the then South Wales Challenge Cup in 1878.
Davies hopes the showpiece occasion will ignite support for the club and put the town on the map.
"It's going to be one of the biggest rugby occasions of our lives," he said.
"It's a privilege and a dream come true to be playing at the Millennium Stadium, one of the best stadiums in the world, but we need a win to make the day really special.
"Getting to the final has taken a huge amount of hard work from everyone involved in the club. Llandovery is a brilliant community and the team's efforts have put the town back on the map."
Davies says the Cup run has been a welcome distraction for his side this season.
"We are playing with less pressure which has brought out the best in us as a team. We have struggled in the Principality Premiership this season but the Cup run has given us something to aim for.
"We are conscious that no-one outside of the old merit table has ever lifted the Cup and we are going to have to play to the best of our ability if we are going to finish on the winning side."
Tickets for the match will be available from 1pm on matchday from the ticket booth at Gate 3 of the Millennium Stadium and from the Millennium Stadium ticket shop at 101 St Mary Street, Cardiff.
Llandovery: Ioan Davies; Owain Gwyn Rowlands, Mike Jones, Jonny Lewis, Viv Jenkins; Howard Thomas, Rob Walters; Phil John, Emyr Phillips, Andrew Jones, Tom Walker, Arwel Davies (Capt), Eifion Gwynne, Jon Mills
Replacements: Endaf Howells, Andrew R Jones, Steve Covington, Gareth Bennett, Adrian Williams, Gruff Jones, Emrys Evans