The Guinness Premiership title rivals will clash at Twickenham on May 20, although a dress rehearsal takes place in the midlands next Saturday when vital league points are on offer in the race for play-off places.
Leicester, 33-17 conquerors of Llanelli Scarlets, are chasing their third European crown, while Wasps - Heineken Cup winners in 2004 - marched into the final today by despatching Premiership relegation candidates Northampton 30-13.
Wasps trailed 13-0 inside the first quarter at Coventry's Ricoh Arena, but then recovered impressively to sting Saints with tries from wing Paul Sackey (two), Dallaglio's second-half replacement James Haskell and substitute back Josh Lewsey.
Wasps skipper Dallaglio said: "It is going to be a worthy final between two teams who between them have dominated much of the professional era.
"Every game is a final between now and the end of the season because of the quality of the opposition and what is at stake. As players and coaches, it is what you enjoy.
"When you have got two of the top English teams in the Heineken Cup final, there is perhaps not as much wrong with the English game as people think."
Dallaglio was involved in an early skirmish with Saints fly-half Carlos Spencer, but he refused to elaborate on suggestions emanating from television coverage that he might have been gouged by the former All Blacks star.
Dallaglio added: "If there was something, it will be picked up by the appropriate people. It wouldn't be the first time, would it?"
Once Wasps moved through the gears, there was little Northampton - whose Premiership fate will be decided next weekend - could do about it.
Wasps rugby director Ian McGeechan said: "It was a jolt to go 13-0 behind, but nobody panicked.
"Once we started to get our basics going and then built momentum it was a case of just remaining patient and waiting for the opportunities to come."
While Wasps kept alive their hopes of a domestic and European double, Saints are left to focus on their relegation clash against London Irish at Franklin's Gardens in six days time, when defeat would effectively send them sliding into National League One.
Northampton head coach Paul Grayson said: "You cannot defend for 75 minutes in a game - it is just not possible.
"We soaked up wave after wave of attacks, but it was inevitable Wasps would take the lead at some point. They are big, fast and strong, and they keep coming at you."