Leeds hold a comfortable 4-1 lead following their first leg performance at Elland Road two weeks ago, and are strong favourites to claim a place in the last 32. But O'Leary says his side will head into the near-30,000 capacity Lokomotiv Stadium with the intention of adding to their lead rather than sitting back and trying to soak up the pressure.
The 41-year-old Irishman is aware Lokomotiv have nothing to lose and fears his side could suffer if they are not positive. To underline how dangerous Lokomotiv are, he has prepared a video to show his players the capabilities of the Russians.
"It's a game in which we won't be going to defend," O'Leary said. "We can't do that because we will get punished. They've got players who can do that. We've got to go out and try to win the game because I don't believe in sitting back. If we can score an away goal, which we've a good chance of doing, then it makes it very difficult for them.
"But if they get an early goal back, it will be game on again. I shall be emphasising this to the players several times before we go into action. They are aware just how dangerous Lokomotiv are from the first leg and anyone who thinks this tie is over is fooling himself. In case they should have forgotten, we have put together a tape showing some of their attacking moves at Elland Road as a reminder. Lokomotiv are a good solid side, full of individuals who can hurt you. They are very dangerous at dead-ball situations around goal."
The Premiership leaders' last away trip was the pulsating 4-4 draw against Everton, although the United defence tightened up at the weekend with a 1-0 home win over West Ham to stretch their unbeaten run to 12 matches.
O'Leary, who put his players through a light training session before the flight to Moscow, admits "individual mistakes" cost his side at Goodison Park and is aware that in the freezing conditions - the likelihood given the game starts at 9pm Russian time - Leeds could be prone again.
Having "set off with long-johns packed", O'Leary added: "They will have seen that we conceded four goals against Everton and been lifted by that. It was a good reminder to us that if we let our standards drop, we could go out of the competition."
Lokomotiv will be without two leading players. Their coach Yuri Syomin said the Georgian striker Zaza Dzhanashia and the Russian international midfielder Yuri Drozdov were unlikely to take part.Reuse content