Saints were in relaxed mood ahead of the game when they had their traditional pre-match walkabout at The Millennium Stadium on Friday.
They are looking to reverse a 21-12 defeat to Wigan in 2002 at Murrayfield, and Millward feels that their build-up has been much better this year.
"We have trained well during the week," he said "It's probably the best preparation we've had for a Challenge Cup out of the three we've had.
"I'm 100% happier than when we went to Murrayfield. We came down a day earlier and the set-up we have generated has been a lot better."
The Millennium Stadium's retractable roof is expected to remain open for the game - barring a change of the current fine weather in Cardiff - and Millward welcomed the move.
"I think it's great that the roof is going to be left open," he said. "If the weather is fine, let's leave it open.
"It will probably enhance our sport with the nice sunlight coming down and the skill level that will be on display.
"I've done three games here for television before, so I knew it was a special stadium, but it was interesting to see the look on the players' faces when they saw it, it is a quite incredible stadium.
"Everything is set up for a great game, the weather is fine and both teams are at strength.
"The team I picked on Monday will be the team that will go on the field, the only way a person would not play is if they wake up with something drastic - and I reckon he wouldn't tell me anyway!"
Saints captain Paul Sculthorpe was equally impressed on his first visit to the venue on Friday morning.
"It's awesome, unbelievable," he said. "It will be a wicked atmosphere.
"The best ground I have played at before now is Old Trafford, but this will take some beating.
"It's enclosed and the fans will be right on top of us, it's going to be awesome.
"It's a new pitch and it's beautiful, nice and soft and short grass - perfect.
"We are just looking forward to it. We've prepared well and had an exellent session on Friday morning.
"I think it's (a matter of) staying relaxed, enjoying it and not playing the game too early."
Only two players in the Saints team have played at the ground before, with Keith Mason representing Wales in 2002 against New Zealand and Lee Gilmour winning last year's Challenge Cup with Bradford against Leeds.
Wigan's side are also new to the arena, and they practised their pre-match entrance during their walkabout, with Saints in more relaxed mood as they passed around balls and had a team picture.
"Everyone's different," added Millward. "I wanted to keep us pretty relaxed, because there are only seven of our players who have won a Challenge Cup.
"We have got some guys who are nervous too, but it is good to get out and we don't want to get too stressed at the moment. We are here to have some fun on Saturday."
Saints have faced the other four teams in the current top five of Tetley's Rugby Super League on their way to the Challenge Cup Final, but Millward is taking nothing for granted.
"We have had a really tough draw, but the only thing it gave us was the opportunity to be in the Final if we won," he says.
"Whether we played amateur teams or National League teams, the bottom line is that you have to win them.
"Winning against the likes of Bradford and Leeds didn't get us exempt from the next round, and we have had four tough teams. They are all in the top five of Super League at present, so that is fantastic.
"It's an exciting week for everyone. I said to one of the players, who wanted the game to come as quickly as possible, that I don't! I want to enjoy the week.
"The fans have already shown how exciting it is by making it a sell-out, and others will watch on TV.
"Players will reflect on it for the rest of their life and for a coach you like to think the long hours you put in are being rewarded. They are experiences that you can't pay for."
Millward has pinpointed scrum half Adrian Lam, who is now fit again after a knee reconstruction, as a key man for Wigan.
"Lam is an outstanding half back," he said. "He is a big bonus for them and he's class.
"Players like that can get through even when they are not at their best, because they have a good feeling of where they should be and what they should be doing."
Wigan captain Andy Farrell says the Warriors are 'quietly confident' of success in Saturday's Powergen Challenge Cup Final against St Helens.
The Warriors are eight-point underdogs going into the clash at Cardiff's Millennium Stadium, following Saints' blistering start to the season.
However, they also upset the odds two years ago against their closest rivals in the Challenge Cup Final at Murrayfield, and Farrell feels that Wigan can repeat that feat on Saturday.
"The mood is very good and we are quietly confident within ourselves," he said. "Our training and preparation has been great, and that is all you can go off.
"None of it actually wins you the game, you still have to go out there and perform for the 80 minutes, but we'll give it our best shot."
Farrell, and the rest of the Warriors squad, visited The Millennium Stadium on Friday for the first time, with only Kiwi prop Craig Smith having ever played at the 73,000-capacity venue.
"I've never been here before," he said. "It's like my back garden!
"It's magnificent, the best stadium in Great Britain by far.
"It's great to say I've played (in Challenge Cup Finals) at Murrayfield, played at Wembley and here as well now. We just need something in Dublin now!"
The Warriors' pre-match walkabout included a rehearsal of their entrance to the arena, including standing for the national anthem and preparing for kick-off.
"It is good, especially for the young players who have never been here before," he said.
"You don't get to do it (before the Grand Final) at Old Trafford, you're not allowed on the pitch and to go through everything, so it's nice.
"It's not necessarily going to win you the game, but it gives you a good start because it makes you aware of everything that is going to happen.
"Going from the changing rooms to starting the match is about ten minutes, so it's about getting that right first."
The Millennium Stadium's roof is expected to remain open for the event, allowing the expected sunlight to bathe the full house.
But Farrell stated: "It's nearly shut when it's open, so I don't think it makes that much difference.
"The only thing we'll have to come to terms with is the sun, but we've worked that out."
St Helens: Paul Wellens; Ade Gardner, Martin Gleeson, Willie Talau, Darren Albert; Jason Hooper, Sean Long; Nick Fozzard, Keiron Cunningham, Keith Mason, Chris Joynt, Lee Gilmour, Paul Sculthorpe (capt). Replacements: Dom Feaunati, Ricky Bibey, Mark Edmondson, Jon Wilkin.
Wigan: Kris Radlinski; David Hodgson, Sean O'Loughlin, Kevin Brown, Brett Dallas; Danny Orr, Adrian Lam; Craig Smith, Terry Newton, Quentin Pongia, Gareth Hock, Danny Tickle, Andy Farrell (capt). Replacements: Terry O'Connor, Danny Sculthorpe, Mick Cassidy, Stephen Wild.Like