First they have to finish on top of the table in the regular season and ladder-leading Sydney would take a huge step towards achieving that ambition by beating Melbourne Victory in the latest edition of the "Big Blue" at Etihad Stadium on Thursday.
Sydney are already eight points ahead of second-placed Victory with 11 rounds remaining.
And if they finished the regular season on top Sydney would then have to win a major semi-final to qualify for a home grand final - something every Premier's Plate-winning team has done since the current finals format was introduced.
"We know that if we turn up in the right frame of mind and ready to go we can beat anyone," O'Neil said when asked if his side had what it takes to qualify for this season's decider.
Sydney as a club were angry and upset when they weren't given a home game for the FFA Cup final against Melbourne City on November 30. Football Federation Australia decided the game should be played at AAMI Park, where City won 1-0.
Sydney FC chairman Scott Barlow labelled it "a slap in the face” to his club and said FFA had gotten the decision "completely wrong", adding that the decision to play the game in Melbourne was made "purely to maximise the profit the FFA will make from the game".
The Sky Blues played all five of their FFA Cup games away from home.
O'Neill told The World Game the Sky Blues would love to give their fans a grand final in Sydney.
"Yeah, we want that, we want the grand final to be in Sydney, there's no question about that because the Sydney fans deserved to have the FFA Cup final in Sydney and they never got that, so what better way to make up for that than getting the A-League grand final in Sydney," he said.
"The Sydney fans who came to Melbourne for the FFA Cup final were tremendous, so imagine if we made the grand final - it would be unbelievable."
Victory may appear vulnerable on Australia Day, coming off two straight losses - but it's possible the bounce-back factor could come into play for such a big match.
But O'Neill said Sydney wouldn't try to anticipate what mood Victory might be in and instead focus on themselves.
"We're very confident, we're playing great football, we're a happy camp and our results speak for themselves," he said.
"We won't focus on anyone else but ourselves and we'll make sure that come Thursday we're ready to rock and roll.
"Obviously the last couple of games for them haven't gone to plan, but that's their issue, not ours.
"We've just got to make sure we're prepared, like we have been for each of our 16 games so far this season.
"We've put ourselves in a great situation and we've got a target of where we want to finish up and if we keep doing what we're doing and enjoying the ride there's no question at the end of the season we'll be on top.
"If we keep ticking all the boxes then we'll have a grand final in Sydney."
