The East Midlands club are bidding to return to the top flight after a 12-year absence.
They face Swansea in the Championship play-offs, with the semi-final first leg at the City Ground on Thursday evening.
Forest were arguably favourites to triumph in the play-offs 12 months ago but were eliminated at this stage by Blackpool and McKenna believes the Reds can learn from that experience.
"Our first step is to try to get to Wembley, we are not going to think of anything else," said the 33-year-old midfielder. "There will be no thoughts of the Premier League yet, the gaffer would not allow that.
"So many teams fall at the first hurdle in the play-offs, as we found out ourselves last year. We have learned from that and now we have the chance to go one step further and turn that negative into a positive."
Source: PA
Source: PA