The Welsh region have lost all five encounters in the competition and face Sale Sharks at Cardiff Arms Park on Saturday.
Phil Davies' men sit at the bottom of Pool Six following their 45-25 defeat to Toulon.
Wales captain Sam Warburton was disappointed with the margin of the loss but reckons progress has been made and is desperate to sink the Sharks
"We missed a few tackles against Toulon and allowed them to get some momentum," said Warburton.
"They were very hard to stop but I was pleased with the way we didn't give up.
"The effort was definitely there. The win against Munster last week was a big moment for us and we did ourselves proud against Toulon, although we would have liked to have come closer.
"Next week will be a big game for the club, an opportunity to get a win and not finish bottom of the group. It will definitely be the priority for us."
Alex Cuthbert returned to action at Stade Felix Mayol, following a facial injury. He capped his comeback with a try as the Blues salvaged a bonus-point and he is desperate to reward the Arms Park faithful for their support.
"We want to finish on a high in the last home game of the competition," said the red-hot wing.
"Hopefully we will be at full strength and will be able to give the fans a good show."