Villa are huge underdogs for the Wembley showpiece against a side going for a third successive League Cup triumph and who thumped Villa 6-1 in the Premier League in January.
Heskey, who played for Villa between 2009 and 2012, won the competition four times during his career and says Dean Smith's side have to hit the ground running if they are to upset the odds.
"I think they need a fast start and they need to be very solid and not be beaten and then try and nick a goal," he told the PA news agency. "When you are a lesser side that is what you have to do.
"It's a great chance for them. They are not going so well in the Premier League so it is a great chance for them to give themselves a little bit of a boost.
"It is a one-off game, form goes out of the window in a cup final. No one wants to go into a cup final and lose heavily.
"They will have to perform and they know that because they are coming up against a wonderful side."
As well as the four victorious finals in the League Cup, two with Leicester and two with Liverpool, Heskey was also a runner-up twice, including during his stint at Villa.
So it is a competition that holds fond memories, especially the first time he won it in 1997.
Heskey, still only 19 at the time, scored in a 1-1 draw with Middlesbrough, with the Foxes going on to win a replay at Hillsborough.
"It is very special to me, it gave me my first opportunity to win a trophy," he said.
"In the era that I grew up in the top teams didn't take it as seriously – they do now – and the first season after winning promotion to the Premier League at Leicester we were able to win it on a replay, which was phenomenal.
"That was the first trophy I ever won, so I remember that fondly.
"It was at the old Wembley so we had the old Twin Towers, driving through all the fans, the sea of blue, the old changing rooms and walking along the running track. It was amazing."