The Glasgow side lost out to Queen of the South in their first year in League Two last season and McCoist insists winning the competition this year will be a 'major' achievement for the League One champions.
"We are treating this as a major cup final," said McCoist, ahead of the Easter Road showpiece against Championship side Raith Rovers. "We got enough stick last year when we didn't get in it.
"Actually we are still a bit sore from last year, a controversial goal took it to extra-time and we lost on penalties. I've always said we want to win every tournament we enter and the Ramsdens final is no different.
"The lads have done well to get to the final, as have the Rovers players, and both clubs are taking it very seriously."
McCoist admits the Scottish Cup semi-final against Dundee United next week will be in his thinking but is adamant it will not detract from the job in hand at the home of Hibernian.
"I don't think we are in a position to look ahead to the following week because the next game, being a cup final, is the most important," he said. "We will prepare for the Dundee United game after the Ramsdens final.
"A lot of people will see us as favourites in the final which is fine. Many would expect us to win the vast majority, if not all the games that we play, so that leaves us open to a little bit of criticism if we don't.
"At the same time it is a completely different situation, one that we haven't been in before. We are in the league below the team we are playing.
"It is a cup final involving a Rangers team which is completely different to previous Rangers teams who have been in cup finals. We have never won the tournament before and you want to win every tournament you enter.
"I've always said the most important thing is to get out the league that we are in, but we have an opportunity to win a cup on Sunday and we are not treating that lightly."
Watch Rangers take on Dundee United in the Scottish Cup semi-final live from 12.30pm next Saturday on Sky Sports 2