The sides meet at the Marrakech Stadium on Saturday as Bayern look to secure a fifth title of the year, while Raja can become the first African outfit to clinch the trophy.
Despite their favourites tag, Lahm is eager to ensure his team-mates remain focused on the task against a side he feels could pose problems.
"We are taking them seriously, we have also seen their other matches (in the competition) as well," he said. "They played well. They are playing a home match and obviously the fans will be on their side.
"That's why it s going to be tough for us. But we are confident. We played in plenty of finals and most of them were decided by us.
"We won't underestimate them. We will fight hard from the beginning, physically and football wise. We want to be convincing."
Thomas Muller added that it was essential for Bayern not to switch their focus to the winter break, which will see the German champions without a competitive game until January 24.
"We will fight hard because it's the last game and we should have enough power for it," he added.
"Afterwards we will have two weeks or so to rest and relax. We've had a very intense year, probably the most intense for some of our players in their careers. We have very nice and positive feelings we can look back, but we also want to continue."
