In a position similar to that of 12 months ago when they had to overcome Bath on their own turf, the defending champions need no reminding of what is needed to book their place in the first showpiece final of the 2014/15 season.
And according to the Exeter skills coach, it's a challenge Pellow and everyone at Sandy Park are keen to take on as the Chiefs maintain their push for honours on three different fronts.
Last Saturday's record-breaking 74-19 triumph over winless London Welsh has put the Chiefs second in the current Aviva Premiership standings, whilst a last eight meeting with Newcastle Falcons awaits next month in the European Challenge Cup.
This Sunday, though, it's the defence of their Anglo-Welsh crown that takes centre stage for the in-form Chiefs and Pellow insists the excitement has been building ahead of the showdown.
"Whatever side you play in a semi-final is always going to be tough, but to go up to Leicester and to play them on their home patch is a real exciting challenge for the guys," said Pellow. "We have talked all week about if you're going to win anything, you're going to have to win it the hard way.
"Looking at this past week, I know we're excited, we've had a really good week of prep, and the guys who are involved this weekend have brought lots of energy and enthusiasm, so it's been a really positive week."
Buoyed by four successive Premiership victories, the Chiefs head into this latest tussle brimming with confidence and keen to maintain their recent momentum.
"On Sunday we'll sit down again and talk about the game and what we have to do," said Pellow. "And one of the things we'll talk about is that this group of players have a real opportunity to do something special again. To go to Leicester, face them in a semi-final and hopefully rip it away from them, it can be one of those special memories that you can keep for a long time."
Certainly the memories of Exeter's first-ever major trophy still exist within the corridors of Sandy Park and Pellow believes the squad is in place for another decent crack at regaining the crown.
"The strength we have in the squad this week, I think we are confident they can go to Leicester and get a result," added the Cornishman. "Obviously we are defending champions, which adds an edge to things, but I think for us to go there and win would be another big acheivement for the club and another milestone in what has been a great last four or five years for the club."
As expected, the Chiefs have taken the opportunity to rest a number of their frontline stars who have been in Premiership action in recent weeks, but their line-up for Sunday is still a formidable one with no less than six full internationals in the ranks.
Welshman Ceri Sweeney skippers the side from fly-half, whilst he is joined by experienced names such as Brett Sturgess, Moray Low, Ben White, Kai Horstmann, Haydn Thomas, Sireli Naqelevuki, Tom James and Fetu'u Vainikolo.
"Each year the squad is getting stronger and stronger," explained Pellow. "I think it's credit to the recruitment and the strides we are making as a club that this year we're competing on three different fronts.
"Going to Leicester, we know, will be tough and we've talked about their strengths all week. They have a very strong set-piece, experienced players, their pitch is alot smaller than ours and they like to play the game at their tempo. For us, what we have to do is make the game about our strengths and take as much as we can away from their game.
"That means individually and collectively we have to work hard to do that, but as we know it's a great opportunity for all of us to do well and get to another final."