He said: "We want to avoid that again. Getting through this play-off tie and reaching the Europa League format is crucial.
"Beating Malaga will be a real help to our preparation. It was like a European tie and that will give us a bit of help for the Europa League matches we have coming up, the first in just over a week."
Moyes accepts, however, that Sigma, who beat Aberdeen 8-1 on aggregate in the previous round, will be tough opponents.
But he insisted: "They are not (as tough as) Standard Liege, who beat us last season in the UEFA Cup.
"As yet I don't know a great deal about them. But that will change when I start work on it.
"But they are not Standard Liege, they are not as good as that. At least this will not be as tough as last season, Liege were such a good side to get at this stage.
"But it will still be hard. We have to see whether we are good enough.
"Getting ready for the tie so early in the season is the key. Can we be ready for those two games in time?
"We didn't get past Liege last season but maybe in the end that was one of the reasons we had such a good run to the FA Cup final.
"But every competition we enter we are trying to win it, and that includes the Europa League."