Matt Peet’s Wigan have won their past 13 Super League matches and came out on top 24-4 in the reverse fixture in May.
Arthur said his side are “up for the fight” against the in-form visitors.
“You have your pre-season camp in Tenerife and you talk about these wonderful dreams and things you want to achieve and unfortunately for the majority of teams in the competition those things don’t become a reality,” he told Radio Leeds.
“I’ve been there plenty of times before but this is the reality for us now, a winner takes all really.
“I’ll maintain it’s hard to get there but it’s harder to stay there. We’re up for the fight.”
Arthur is looking for his first piece of silverware with Leeds since taking over in July 2024 and the club’s first since the Challenge Cup in 2020.
“We’ve got a lot of respect for them but we need to focus on ourselves and really go after the occasion,” he added.
“The majority of the place will be full of our fans so we’ve got to make the most of the opportunity. There’s no pressure on us, we just need to go after it and enjoy it.
“It’s no good getting here, we’ve got to make the most of it because these opportunities don’t come along every year.
“It’s a Grand Final before a Grand Final. There’s a lot riding on the game but we’re just grateful that we’re here.”
Wigan, meanwhile, are looking to win a second competition this season after lifting the Challenge Cup in May.
They have won two Grand Finals and two League Leaders’ Shields in the past four campaigns since Peet took charge but he does not think their big-game experience will be a factor on Saturday.
“I think it’s very much whichever team plays well on the night,” he told Radio Manchester.
“I don’t think winning different trophies in different years counts that much. We’ve got some experienced players who’ve played in big games but Leeds have as well.”