Cricket legend Shane Warne was renowned for producing his best bowling when Australia needed it most.

Now the leg spinner has shared some of his thoughts about performing under pressure with his beloved St Kilda as they try to end their 43-year AFL premiership drought.

Jokingly calling himself "mentor Shane", Warne has revealed he spoke to some Saints players "pretty recently" about how to cope in the finals spotlight.

Warne is a life-long St Kilda fan and will be at the MCG this Friday night, when they play the Western Bulldogs for a grand final berth.

"I've spoken to a few of the guys, they're in a good space at the moment, they're pretty relaxed about their game," Warne said.

"They know their game plan and their style of play, it's just a matter of execution and performing on the big stage.

"You don't get here by luck, so these guys know their roles, it's all about performing your role and execution on the day and forgetting about all the other things.

"It's also about enjoying that moment, enjoying that experience of a big crowd - this is it, if you lose, you're out."

Warne said it was critical that the Saints viewed this month as a massive opportunity, not something to fear.

"It's all about attitude and your mindset ... (thinking) `today is my day' rather than `I hope I play well'," he said.

"I've informally spoken to a few of the guys, but I think they know what they're doing."

Warne is confident the Saints can win the flag and singled out captain Nick Riewoldt as a great leader.

"I know half a dozen or eight of the guys very well - they're pretty ordinary poker players," he said.

"I'm nervous about it ... but I'm pretty confident with the way we're playing, we'll get over this week, get in the grand final and I'm sure we can go all the way.

"This is their best chance for a long time, they've had a good list.

"Their experience of playing in finals will count for a fair bit and I think the way Nick Riewoldt is playing at the moment, he's really leading from the front, he has that ability to really drag the rest of the players with him.

"It's a unique trait to have in a sportsman."

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