Tommy Wright's side are enjoying just their fourth ever European campaign and have already claimed the scalp of Norwegian league leaders Rosenborg.
Striker Steven MacLean gave the Scots a 1-0 lead over third qualifying round opponents FC Minsk following their first-leg meeting in Belarus last week.
Saints now host the return fixture tomorrow night with a play-off place at stake and the chance to land a spot in the money-spinning group stages.
Around 8,000 supporters turned out to see the team dispose of the Trondheim heavyweights at McDiarmid with a 2-1 aggregate win a fortnight ago and another sizeable crowd is expect tomorrow.
Irishman Cregg now lives amongst the Perth support and has seen first-hand what their unbeaten start to the season means to the fans - and claims further progress is the least their backing deserves.
The former Hibernian midfielder said: "We need to make sure we can get a good result so we can keep our confidence up. The whole place, the town and everything, will be buzzing if we do manage to get through and set up a massive play-off game.
"I stay in Perth and you don't normally feel that level of expectation when you are out walking about the place.
"But there was a real sense before the Rosenborg game that people were behind us. Now there's a bit of a buzz about the Minsk game too, which is good.
"For league games, you don't get much of that but now there seems to be this buzz building around the town.
"Before we played Rosenborg, everyone I bumped into was wishing us luck and it's the same for this game as well."
While European games have drawn large gates, crowd figures for the Scottish Premiership have not been so good.
Hearts brought 3,500 supporters with them for Sunday's Scottish Premiership, outnumbering those there to back St Johnstone in their own stadium.
But Cregg is hopeful another Europa League win will have the Saints fans queuing up to back the team.
"There's no pressure because of the fans' expectations," he said. "We're just feeding off that support. The lads want to play for the town and our very loyal supporters. We want to get more of them along.
"If it means doing well in this competition and hopefully persuading more of them to come to our league games, then that is what we aim to do.
"But they do seem to savour these big games. Last year when we played Eskisehirspor, there was 6,000 and something here and then for the game against Rosenborg, it was the biggest crowd I've witnessed since I've been here.
"Hopefully it will be more of the same on Thursday. We appreciate those who do turn out because these things cost money and the fans are making a sacrifice to come and support us. We will try our best for them."
But Cregg is wary of the threats posed by the stubborn Belarusians.
He said: "They played on the counter over there in Grodno and I imagine they will do exactly the same over here.
"They sit in and defend but they have got some good players that are comfortable on the ball. They look to suck us in and break as fast they can so we need to be careful.
"But we've got the one-goal lead. We need to make that count. An early goal would be helpful."