But if they're being honest, they are more focused on creating their own piece of history.
The Bombers' AFL team's failure to win a final since 2004 has been well-documented.
Their AFLW counterparts, now in their third season, have played just one final, losing an elimination final to Geelong last year, and take on Fremantle in an elimination final at Fremantle Oval on Saturday.
"We're really excited. We're trying to focus on the W program - just win our first final," defender Maddi Gay told AAP.
"Yes, it'd be really great for the whole club as well.
"But yeah, we're just focusing on (us). We made finals last year and then making finals again this year, which is a really hard thing to do.
"But yeah, just trying to take that next step and winning one now. And I think we've got a really good process in doing that."
Maddi Gay has rare premiership-winning experience to share from her days with Melbourne. (Joel Carrett/AAP PHOTOS)
Fellow defender Alex Morcom has been with the Bombers from the start, including experiencing that loss to Geelong.
"We're not letting that weigh too much on us," Morcom told AAP.
"We've got a job at hand, and we're focused on just going about it, bringing everything that we've brought this season, and putting it all together for this final."
She was adamant Essendon had learned from their first time on a big stage.
"They (Geelong) came out very hot, and I think that caught us off guard," Morcom said.
"So going into our final this week, you know, we want to have a really strong start, I think that's what the group will be focusing on.
"But I know that we've grown a lot as a team as well.
"We've got some just different personnel that have joined the Bombers this season, and it's been great to have them on board and as a team, our game plan has changed a lot since then as well."
Alex Morcom (r) says the Bombers learnt from last year's early finals exit. (Joel Carrett/AAP PHOTOS)
Gay is a rare premiership player at Essendon after her triumph with Melbourne and has proved invaluable to her less experienced teammates.
"I keep saying 'enjoy it' because it's so hard to make finals. It's so hard to make it, so you've just got to enjoy it," she said.
The Bombers will be without Bonnie Toogood (ankle) and ruck Steph Wales (ACL).
Gay was confident Essendon's forwards knew how to play without powerhouse skipper Toogood, after she was injured earlier in the season.
"They all work for each other," she said.
"Someone might have a good five minutes, and then someone else steps up.
"So I think that's going to have to happen this weekend."
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