He also concedes that's something no-one would have expected at the start of the season.
The Magpies are two wins away from a most unlikely flag after easily beating Fremantle in Saturday night's semi-final.
The 20-point margin flattered the Dockers, who kicked late consolation goals.
Now Collingwood have a tough preliminary final assignment against Sydney at the SCG.
The Magpies finished second-bottom last season amid off-field turmoil, with McRae eventually taking over as coach.
"We're one of four teams left in the competition - at the start of the year, if you thought you're in the last four, you could have gotten pretty big odds for that I would have thought," he said.
"But I'm just really proud, tonight in particular, just the growth in us.
"I just feel like we're growing before your eyes.
"I strongly believe the best is in front of us."
McRae is an enthusiastic spruiker of his team and now they are deep into September, he is happy to talk up their premiership credentials.
"We're here to win it. One more game and you're in a grand final - we're here to win this thing," he said.
A week ago, he criticised some players for slumping to the ground when they narrowly lost their qualifying final to Geelong.
But McRae said training during the week had been excellent as they regrouped quickly.
"That's part of the journey for us, about showing that we're just going to continue to want to be better," he said.
"That's how you build belief, belief through action, and this group believes.
"Two weeks in a row, we've looked like we can handle the big stage."
There have been plenty of challenges, with star defender Darcy Moore sick during the week ahead of the Fremantle win.
"The guy's been in bed for a couple of days, pretty ill," McRae said.
"I hate it when the doctor rings me match day. There was some concern."
Moore played and was high among their best.
They are also without top midfielder Taylor Adams, who badly re-injured his groin late in the Geelong game, while Jordan De Goey is starring despite his sore A/c joint.
Nevertheless, the Magpies look capable of continuing their astonishing run.
"This is what we play for. Our game plan stacks up. We look ready for the occasion - it's exciting," McRae said.
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