Wasps emerged pointless from their two previous Heineken Cup encounters at Llanelli in 2000 and 2005.
And captain Dallaglio fully acknowledges the degree of difficulty his team must overcome.
He said: "I think we will go down there as underdogs.
"But we look forward to another great game, because these are the sort of matches everyone wants to play in.
"The game against Munster had a lot of skill and commitment, and I think everyone watching it got their money's worth.
"But we will not get ahead of ourselves. The clashes simply don't get any easier, and we have a massive game coming up at Llanelli."
With Wasps' other Pool Five rivals Clermont Auvergne having announced their intentions with a seven-try victory over Llanelli last Sunday, any win on the road could prove critical in terms of potential quarter-final status.
Wasps rugby director Ian McGeechan added: "We have not won there for a long time. We know Llanelli are a good side, and for us, each game is like a cup final."
Pool Four favourites Biarritz and Saracens meet in southern France, with flanker Kris Chesney making his 300th appearance for the Guinness Premiership club and Richard Haughton replacing injured full-back Francisco Leonelli.
Biarritz, 2006 Heineken Cup runners-up last season, opened their campaign by struggling past Italian hosts Viadana, and the club's former France scrum-half Dimitri Yachvili admitted: "We could have been a bit more clinical.
"And we know Saracens are a very formidable side. They have recruited well and they have been impressive in the Premiership so far this season."
Leicester and Harlequins require respective home wins against Edinburgh and Cardiff Blues to revive their campaigns following opening weekend defeats.
And while the Tigers should overcome Edinburgh, Quins' task promises to be infinitely tougher when they meet a Blues side buoyed by beating Bristol 34-18.
Cardiff though, must crack the code away from home, having won just two of the last 20 Heineken Cup games on their travels.
Blues flanker Martyn Williams said: "It is all very well and good doing it at home, but the top European sides go away and pinch wins.
"Whether it is ugly or not, you just have to win."
Elsewhere, London Irish visit Pool One hosts Newport Gwent Dragons and Treviso entertain Perpignan in the same group, but Friday's showpiece is a Pool Two clash between Gloucester and the Ospreys at Kingsholm.
Gloucester, fresh from a 32-14 victory over Ulster in Belfast, welcome back Italy World Cup skipper Marco Bortolami, who replaces injured lock Alex Brown, while the Ospreys have lost Wales wing Shane Williams because of a thigh problem.
Gloucester head coach Dean Ryan said: "The Ospreys are a totally different proposition to Ulster. They have great try-scoring ability, and it will be a real firecracker of a game.
"The Heineken Cup is like playing international rugby, but we are getting better at it.
"All we have done so far is make a good start to what is certainly an extremely challenging group.
"But what we now have at the club is a strength in depth to our squad that means we won't find ourselves exposed when we have one or two players out injured.
"In that respect, we are much stronger without the threat of being derailed at the first hurdle."