The Gunners, four points behind leaders Manchester United, have racked up 12 wins and six draws from their first 18 fixtures this season. That sequence will be put to the test when they return to the scene of one of only half-a-dozen defeats they suffered last term. On that day on the south coast, in November last year, Sol Campbell saw red as the Londoners crashed 3-2.
Arsenal have since beaten the Saints twice the 6-1 Premiership demolition at Highbury coming just before the 1-0 success in the FA Cup final.
And the Millennium Stadium defeat in particular leaves Wenger fearing his side's superb run without losing will not reach 19 games.
"To do what we've already done in the Premiership this season isn't easy," he said. But now let's see how we do at Southampton. We want to keep the run going and are prepared and focusing very hard.
"We've beaten them the last two times we played them and the 6-1 played on their minds for the FA Cup Final. But it's a different story down there and they're a force at home. It was a tough game there last season and we lost and had Sol sent off."
The respect with which Wenger views Gordon Strachan's side is illustrated by the fact he has drawn up a battleplan to counter James Beattie's aerial dominance. The England man hit 24 goals last term and has 11 so far this time round.
Wenger, whose side beat Wolves 3-0 on St. Stephen's Day, explained: "Beattie scored a great free-kick against us last season but hasn't scored as many goals this season as he did last season. But we know he'll be up for every ball against us and always dangerous in the box.
A boost for Wenger is the news Marian Pahars, just back from a year-long injury lay-off is doubtful with the thigh strain which kept him out of Southampton's 2-0 defeat at Fulham. Wenger revealed he may make "one or two changes".
That could point to the recall of Lauren or Martin Keown, fit again after injuries. However Wenger also applauded centre-back Pascal Cygan, who seems to have finally mastered English football.
"Pascal doesn't have the electric pace of Sol Campbell or Kolo Toure but his distribution and understanding of the game are good," Wenger said.
Gael Clichy is expected to continue to deputise for Ashley Cole at left-back. The Frenchman impressed in the victory against Wolves and should start in place of Cole, who completes a three-match ban. Wenger added: "Clichy is very quick and did well against Wolves in what was his first Premiership game at Highbury."
Meanwhile, Agustin Delgado hopes he will get the chance to score his first league goal for Southampton when he ends a 13-month grievance. Ecuadorian Delgado thought he had scored for Saints in the home win over Arsenal in November last season but it was later credited as an own goal to Toure.
With that deleted from his records, Delgado, a £3.2m signing from Necaxa, can point only to a goal at Liverpool in the Worthington Cup from two and a half injury hit years with Southampton.
Delgado is now fully fit and appeared as a substitute in the St. Stephen's Day defeat at Fulham. Saints manager Gordon Strachan may decide to give the powerfully-built striker a starting chance after his team's listless display at Fulham.
Strachan also has pacy Latvian striker Marian Pahars fit again after a thigh strain and midfield player Rory Delap has recovered from an ankle injury.
Strachan said: "There are plenty of players to choose from but whoever I decide should play will need to be at his best. If we play like we did against Fulham when we meet Arsenal we will be beaten again. We cannot afford to play as badly again."