Munster will be all the better for the hard slog they had against Saracens, with the English club really putting it up to the 2006 champions before the visitors emerged as 18-16 victors.
A worthy recipient of the man-of-the-match award, O'Connell said after the semi-final: "That was probably too close for comfort but we have worked very hard on our defence and it has improved a great deal. We were under a lot of pressure there but we soaked it up.
"Saracens are a fine team with serious players and there was a lot of emotion attached to that game today. It was Richard Hill's last opportunity for silverware and then there's Alan Gaffney so we're very happy.
"We scored two very good tries, Quinny's having a very good season and his try was great."
First half tries from Ronan O'Gara and Alan Quinlan helped Munster to a 15-7 half-time lead and a lone O'Gara penalty in a nail-biting second half was enough to see Declan Kidney's side over the finishing line.
Keen to hand the plaudits out rather than accept praise for his talismanic display, O'Connell added: "Man-of-the-match is a funny thing, you can make one or two breaks, one or two carries and you get an award like this.
"But you get other guys then like (John) Hayes or Donners (Donncha O'Callaghan) who might clean out 20 rucks in a row and won't get it."
Reliving Quinlan's try, which came at a vital stage just before half-time, O'Connell again paid tribute to his forward colleagues.
"Rog (Ronan O'Gara) took a quick tap, Leams (Denis Leamy) took it up, Dougie (Doug Howlett) made a great break. In fairness to Quinny, with quick ball we normally leave it to the scrum half, let him play it, but you have guys like Wally (David Wallace) in the past who have picked up quick ball like that and scored tries.
"It's one of those things, you pick that ball and you score, you're a hero, you pick it and you don't, you get people breathing down your neck. But that's the confidence of the guy (Quinlan), that's his footballing ability.
"He e picked it going against the grain, came back the way the ball had come, fended someone off. It was a great try but he's just such a clever footballer; sometimes guys like that do things and you've just got to get in behind them, they've spotted something most others wouldn't."
The two clubs who have played the most games in the history of the Heineken Cup will meet next month in the cauldron of the Millennium Stadium and O'Connell cannot wait for it.
"A lot of those Toulouse players have been there (the Millennium Stadium) before with France, they'll have good memories of that ground.
"It's going to be another really hard game for us, it should be a great occasion. It has been every time we've met them so this will be no different."