The Blues claimed a historic triumph over reigning kings of Europe Toulon at the Arms Park last Saturday.
But following a mixed start to the season, Davies insists his side must build upon the victory, beginning in tonight's PRO12 clash with Ulster.
"It was obviously a good performance against Toulon," said Davies.
"It has enthused everyone, the singing at the end with all the supporters and the players really enjoyed the occasion.
"Hopefully it is another milestone and a step forward for us. We have had a couple of disappointing experiences in the last couple of weeks, but to beat the European champions at home was a positive in this squad's progression.
"But now it is vital we back it up. The belief that Saturday has given us will help us understand the level we need to hit every week.
"Now we need to keep that going in the RaboDirect PRO12."
But Davies is well aware of the formidable challenge the Blues face against Ulster at Ravenhill.
The Northern Irish province recorded another of the most impressive victories in round two of European action, with an away win over Montpellier.
"We know what it is like to try and go to Montpellier and get a result so you have got to give them huge credit for that. It was a great performance by Ulster," said Davies.
"They are an outstanding team with some excellent players. They have got Johannn Muller, who is a great catalyst for them with Nick Williams. You have John Afoa in the scrum with Rory Best so their platform is really good.
"You then have the half-backs with Ruan Pienaar, who navigates them around the field, and Paddy Jackson is playing well. They have good finishing power on the wings with Andrew Trimble and Tommy Bowe. They are a very good team all-round.
"Ravenhill has been redeveloped and it will be a great atmosphere and a sell-out. It will be a great occasion and hopefully a great game."