Pitso Mosimane's side have a 1-0 advantage from the reverse fixture at Lucas Moripe Stadium.
Arendse says Mosimane has emphasised the need to keep things tight and balanced against their Moroccan hosts at Prince Moulay Abdellah Stadium in Rabat on Saturday.
"In the first leg we managed to get a goal and keep a clean sheet which was two positives," says the former Santos defender.
"But going in to the second leg, into Wydad's home venue, we know it's gonna be tough. For us it is about the preparation and everything.
"Going into the game with a goal, it is important that we hold on to that because at the same time they need to score. So we have got to be tight as a unit defensively. We also have to score because in the back of our minds if we get one goal away then Wydad have to score three.
"We have been preparing quite well. The coaches have emphasised we must be tight defensively and also going upfront we need to sore as well. We must have that balance and know the objective is to score as well, not just to defend. So if we can score early, the earlier the better."