And he knows the glamour of a night out at the Bernabeu must not be allowed to affect United's focus.
"We're not thinking about Madrid," said Giggs. "Everyone was excited when the draw was made but you can't look too far ahead.
"You want to perform in games like that and be in good form going into them. That is what we intend to do and the best way of achieving that is to concentrate on the opponents immediately ahead."
Southampton's run of six league games unbeaten will be enough to trigger the return of 22-goal Robin van Persie, who sat out Saturday's FA Cup win over Fulham but is looking for a new personal landmark of scoring in six consecutive league matches.
In addition, central defensive duo Nemanja Vidic and Rio Ferdinand are also set to be recalled as United defend their record of never losing to the Saints in a league match at Old Trafford since 1988, when Colin Clarke did the damage, grabbing both goals in a 2-0 win.
"It will be another tough game for us," said Giggs.
"I suppose you could say there are no easy games in this league but Southampton have been in decent form and gave us a good game earlier in the season, so we'll need to play well.
"You want to perform well for your satisfaction and your own form. It also gives you confidence going into the next game."