Amakhosi face Siwelele at Free State Stadium at 15h00.
"This one's important because it’s a cup and we are looking forward to winning it," Baloyi tells KickOff.com.
"I'm also ready to play against my former team, but it's not all about proving anyone wrong.
"I'm not someone who hold grudges. There is no need for me to say I want to prove a point because Chiefs raised me, it's where I started earning money. I grew up in that team. Yes, I'm a Celtic player and I'm proud of being a Celtic player.
"What I must do is work hard and do things the way things are done here at Celtic. Even at Chiefs I think they will be happy to see me progressing and continuing to work hard the same way I did when I was still their player."
The 26-year-old says he is happy with the way he is settling at his new team.
"So far so good, nice place, chilled. I'm getting used to the place because it is small, and the environment... I like the way things are. Bit by bit I'm getting used to the fact that I am no longer at Chiefs."
'Sheriff', as Baloyi is affectionately known, says playing for Celtic doesn't change or lower his ambitions in football.
"Even now at Celtic the aim is to win the league. Wherever I go I set my goals as an individual, although we play as a team. People can say it [Celtic] is a small team but look at the players we have. We don't have big-name players but we have players that can work. We are serious about achieving something."
Baloyi also took the opportunity to explain why he left Chiefs and why he chose Celtic over other PSL teams that were reportedly interested in his services.
"I remember when I was [on loan] at [Moroka] Swallows, I had to leave Swallows so I could go back to Chiefs.
"Celtic wanted me back then, but I didn't want to go out on loan again. I just wanted to fight for my place at Chiefs so I could be a regular player, but things didn't go the way I wanted. I stayed at Chiefs but Chiefs wanted to loan me out again. So the team that came first into my my mind was Celtic."