Collingwood defender Heath Shaw rates Saturday night's comeback win over Adelaide the best AFL finals victory he has been involved in, but just a step towards their premiership aim.

The Magpies were on the ropes at half-time in hot and windy conditions, but twice rallied in the second half and won the semi-final 12.11 (83) to 11.12 (78) after John Anthony kicked the winning goal inside the last 20 seconds.

"A couple of years back (in 2007) against West Coast in that extra-time final is a similar comparison, but last night tops that," Shaw said after the club's recovery session on Sunday.

"We had our backs against the wall, down by 30-odd points and to come back the way we did showed a lot of character from the group."

Collingwood now play Geelong in Saturday night's second preliminary final, and Shaw said the Magpies were a step closer to the aim they set themselves at the start of the season.

"At the start of the year we said we want to win a premiership, that's what we're here to do," he said.

"To do that we thought we had to finish in the top four, and to finish in the top four we believed a preliminary final was the minimum we had to get to.

"We've got there now and it's a massive opportunity for this group."

St Kilda and the Western Bulldogs play in the first preliminary final, on Friday night.

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