Quins are looking to secure the first of a potential trio of trophies when they meet a Sale side struggling near the foot of the Aviva Premiership table. The defending Premiership champions are in a strong position as they seek to retain their crown, and are also in the last eight of the Heineken Cup.
But O'Shea told Harlequins TV: "It's not about favourites, they have got some energy from the London Welsh decision and they have some outstanding players as they showed in their performance against Saracens in the semi-final. They have players like Andy Powell, James Gaskell, Jonny Leota in the centre and Sam Tuitupou is coming back, and we know they play a style that is good to watch."
And O'Shea has encouraged his side to focus on their performance, and let the result take care of itself.
"We say to the players that it's not just about winning," he added.
"We want to win - we are not stupid in that sense - and we know we are judged on results.
"But we know what gets results, and that's our performances. So we want to enjoy, put our game out there and see where it takes us."
O'Shea has rewarded the XV who saw off Bath in last weekend's semi-finals by sticking with the same starting line-up.
Sale, playing in their first major final since 2006, move Nick Macleod to full-back as Will Addison comes into the centre. Nathan Fowles gets the nod at scrum-half, while Alasdair Dickinson, Marc Jones and Tony Buckley start in the front row.