The Pilgrims head to the LNER Community Stadium on Saturday for the National League North's promotion final (KO 3pm).
While the majority of the 8,500-capacity crowd will be backing the home side, Cox doesn't want his side to be intimidated.
"A home crowd can be what you make it," said Cox, who has led United and former club Kettering Town to league wins in York already this season.
"I tell the boys to flip the psychology. You can either go to a place and fear it or go and embrace it.
"Every time we've gone to York I've had players embrace the noise.
"We know this is what we're playing in. It's going to be vocal, but our crowd is.
"Sometimes we haven't embraced the pressure and I'm looking forward to it."
Sunday's semi-final victory at AFC Fylde sparked wild scenes after Danny Elliott's late brace secured a 2-0 win, with videos of players and supporters celebrating on the pitch and in the dressing room doing the rounds on social media.
While Cox was happy for his team - who kicked off without 11 first team regulars - to enjoy their moment, he is quick to point out the hard work starts now.
"Nothing's been achieved yet. People may go 'oh, that's a semi-final' but a final's a horrible place to go and not win it," he said.
"I'm all for celebrating if we're to win against York.
"What an occasion that will be to go there, full stadium, great atmosphere and two sides probably no-one thought would be in this position. But hey, let's go for it."
However, Cox believes his squad - which included former Minstermen Jake Wright jnr, Ntumba Massanka, Tom Platt and Jordan Burrow - have the right attitude heading to York.
"I'm looking at the group's body language and mindset," the manager said.
"Nobody's getting carried away yet. We've beaten two fabulous footballing sides that are both full time.
"We don't need to thin kit's all done and dusted, we need to work.”
Jake Wright snr and James Hanson could be available for Saturday's final.
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