The Wallabies booked their place in the tournament showpiece with a 29-15 win over Argentina in the semi-final, setting up a mouth-watering battle with the defending champions.
Australia have not won the competition since 1999, suffering defeat in the final on home soil in 2003 before losing in the quarter-finals in 2007 and the last four in 2011.
Asked about the prospect of suffering national disappointment again, Cheika said: "Anyone that is involved in rugby hates losing and that feeling when you sit in the dressing room afterwards with your team-mates.
"You wouldn't be playing the game otherwise. You aren't going out there to lose. That is the joy of the game. On Saturday there will be 46 pig-headed fellas out there trying to win."
Australia have had a day less than New Zealand to prepare for the final, the first between the Wallabies and the All Blacks in the tournament's history.
The Wallabies are also coming off four tough games in a row - against England, Wales, Scotland and Argentina - while the All Blacks cruised through the tournament before the Springboks gave them a scare in the semi-final.
"We'll try to get the right balance. The training will be hard when we need it to be, but we'll also allow the guys to recover," Cheika said.
"We've had a big game every week since we came here. We understand that we need to get better, but we need to know what we need to do and how we are going to improve it."