Keogh said: "The lads have been really buzzing this week. It's been a good build-up as far as results are concerned. We're going into the match unbeaten in three and full of confidence.
"A lot of people will talk about just enjoying the day, but we all want to come home with the trophy. It's no use getting this far and then just taking in the occasion. We want to win some silverware.
"We've got no problem being the underdogs for this game. All the talk is of Southampton and their strengths, but we've got plenty of experience in our side that will be ready for the big occasion."
Keogh added: "We coped with them back in September at Brunton Park and were unlucky to only get a point from that game thanks to a late goal (from Saints defender Radhi Jaidi in the 90th minute), so we know we're more than capable of getting a result against them."