They face Warrington Wolves in the Super League Grand Final tomorrow night having negotiated their way from fifth place for a second year running.
If they prosper it will be a fifth victory in just six seasons yet their opponents – who have never featured in the showpiece – are odds-on favourites at 1/2 to win.
“I think people are waiting for the bubble to burst a little bit,” said Sinfield, who will extend his own record when he leads Rhinos out in a seventh Grand Final.
“We’ve been told how Warrington are going to be favourites again and people are still writing us off which is fine.
“I’ve been here before as a favourite and as an underdog so it doesn’t change too much.
“We’ve talked about how we approached Wigan last week and we’ll have exactly the same approach now.
“We’re certainly battle-hardened after the run we’ve had in the play-offs against Wakefield, Catalan and then Wigan and we’ve been improving.
“We know Warrington are a great side, who are really well coached but our lads have worked really hard over the last month and deserve to be here.
“They say lightening can’t strike twice – but I hope it can Saturday.”
A Warrington victory, though, would see them become the first team since St Helens in 2006, and only the third team in the Super League era, to complete a Challenge Cup and Super League Grand Final double.
Both sides are set to be at full strength.
Leeds have England scrum-half Danny McGuire available after missing his side’s semi-final win over Wigan through suspension.
He was named in their 19-man squad as expected, along with prop Richard Moore and second-row Chris Clarkson, who are the ones expected to make way.
Warrington coach Tony Smith, meanwhile, has included forwards Garreth Carvell and Tyrone McCarthy in his 19 after they missed out on the semi-final win over St Helens.
England prop Carvell will hope to return to, but given the display of Mike Cooper last week he could yet miss out altogether if Smith stays faithful.