Steve Bruce's men ensured a place in the May 17 showpiece against the Gunners - who beat Wigan Athletic on penalties in the other semi-final - with a 5-3 win over League One outfit Sheffield United on Sunday.
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"The biggest thing for us with this game is we have got the occasion out of the way," Davies told The Hull Daily Mail.
"When we come back here on May 17 it will all be about winning a game of football and lifting a trophy.
"It won't be about Wembley, getting your family there, sorting tickets for people, it will be about winning a game of football and then I will be in a position to lift a trophy for this club.
"We have been the favourites all the way through, but in the final that won't be the case. I was with Birmingham when they upset Arsenal in the cup final a few years back and hopefully we can emulate that success."
Davies also expressed delight at the turnaround Hull produced against Sheffield following his rousing half-time team-talk.
"I told the players we weren't playing good enough and we needed to up it," he added.
"I wasn't happy with the way we weren't keeping the ball and we were doing silly things with it. The goals we conceded were sloppy.
"It was two balls into the box, not great balls and they got on the end of both of them. It was sloppy. I told them we needed to up it because I didn't want to go home upset.
"I'm just glad what I said got the right reaction and we didn't have shrinking violets with people hiding."