The Tigers travel down to the national stadium on Sunday for an FA Cup Semi-Final against Sheffield United with the sole intention of returning to the same venue next month for the final.
“Sunday will be a great occasion, but playing in the final is the bigger dream,” said Davies.
“As much as Sunday will be a big day out for the fans and hopefully a great day, we realise that it isn’t the pinnacle – that would be playing in the final.
“As hard as it’s going to be, we have to treat this as just another game and know that we need to win it to get to the final. Reaching the final would mean the world to me.
“At the same time, though, this is a massive game because there is a chance for us to create history and it’s the first time in more than 80 years that the club has reached the semi-final.
“As players, we’re not going to be satisfied with one trip to Wembley, we want to make it two and go all the way and win it.”
Another motivating factor for the Tigers going into the game is knowing that victory would go a long way towards making this the greatest season in the club’s history.
With Steve Bruce’s side edging their way towards top flight safety, a FA Cup Final would add icing to the cake and that is what the players will be aiming for.
“I remember playing against Hull City for Luton when we were scrapping it out to win League One,” added Davies.
“That was nine years ago and it’s strange how football works that a club can now reach these heights.
“We would have snatched somebody’s hand off at the start if you’d offered us a season like this.
“If you ask any player in a side that has just been promoted to the Premier League what they want to achieve in the first season, they would say 17th place because staying up is everything. We’re not mathematically safe yet but we’ll be doing our utmost to make it happen.
“It has been an amazing season and we don’t want it to stop now. I keep reiterating that Sunday is a semi-final, not a final.
“It’s a one-off game where anything can happen, but we want to win it and go on to the final and win the trophy.
“We hope the best is yet to come, but we have to go out there and do it. It’s alright talking about it, but we need to go out and do the business on Sunday.”
Standing in the way of Davies and the Tigers are League One Sheffield United who have taken some big scalps on their way to the semi-finals and the centre back knows his team are in for a tough afternoon against the Blades, although he doesn’t feel there is any extra pressure on the Premier League side.
“I don’t think there’s any more pressure on us than what we put on ourselves anyway,” said Davies.
“We want to win the game and get to the final and we know that we’re not going to get many opportunities to do that.
“It’s going to be a tough game, but we have to go out there and be professional and do the job that we need to do.
“With the squad that we’ve got, a lot of us have played Championship and League One football and feel we know what to expect. If we can show our quality on the day, I think we’ll be alright.”