Palace come into the game with a precious 1-0 aggregate lead after Jean-Philippe Mateta's header at Selhurst Park last week.
And if they can come through Thursday's away leg with a similar result the Eagles will earn a place in Friday's draw for the Conference League proper, which begins with the league phase.
But Lacroix says his teammates aren't yet thinking about going deep into the tournament.
"I think it's like the manager was saying," Lacroix said. "We want to see about the game tomorrow [first].
"First of all we have to qualify for the competition, only after that we will see about the competition. This is why we will give everything to win this game tomorrow.
"I think it's going be a similar game [to the first leg at Selhurst Park]. We have to score quicker than the last game, to give everything to be a part of this competition."
Palace come into the game having only conceded once in the last three games, knowing that another clean sheet would guarantee progress.
And Frenchman believes this is down, not only to his fellow defenders, but the collective effort of the group.