And with current leaders Munster facing a tough appointment with Clermont Auvergne in France on Sunday, Wasps know they cannot let the opportunity slip by.
Either way, the group could be decided by events in Limerick next Saturday when Wasps visit Munster, although Clermont cannot be discounted.
McGeechan said: "Because of the nature of this pool, every game is a cup final, and Sunday's game is no exception.
"We need a win to stay in the running for qualification to the quarter-finals.
"The quality of every team in this pool means we have to be wholly focused on producing a very high-quality performance, because Llanelli are a quality side who will come to Adams Park looking for a result."
Despite McGeechan's concern, Llanelli could struggle to match Wasps' power and pace.
The Scarlets are without Wales international half-backs Stephen Jones and Dwayne Peel, and they have yet to collect a point in this season's tournament following four successive defeats.
Wasps will be without Josh Lewsey, who is getting married this weekend, so Mark Van Gisbergen starts at full-back with centre Dominic Waldouck on the wing.
In the pack, England RBS 6 Nations squad members Phil Vickery, Tim Payne, Simon Shaw, James Haskell and Tom Rees all start, but Joe Worsley is on bench duty - subject to passing a fitness test - providing back-row cover for Haskell, Rees and Lawrence Dallaglio.