The Young Dragons have enjoyed an encouraging recent run, picking up a 3-0 friendly win over Iceland before beating Moldova 1-0 in their Group One opener back in March.
Victory over the Finns would give Wales an ideal start, putting points on the board before group heavyweights England enter the fray next month.
And manager Geraint Williams has warned his players the two eagerly-awaited meetings with England will mean little if they do not focus on the task at hand.
He said: "As soon as the group was drawn, everyone started talking about the England match, but we need to take care of business before then.
"The opening win against Moldova at Llanelli was important, but we now need to get the win over Finland before facing two away games (in San Marino and Moldova) in September.
"Having got the opening win under our belts, we know how important this game is, as will be the other home matches in October.
"But certainly the Finns, being so close to us in terms of rankings are a side we need to beat."
Finland drew their opening group fixture 2-2 with Lithuania, and Williams expects a tough contest against a side containing players whose domestic season is in full flow.
"They will be a stern test," he said.
"They were unlucky not to take all the points in their match with Lithuania and of course they are half way through their season, whilst our lads are just getting started, so it will be a tough test, but one that I think we can overcome."