The 27-year old midfielder helped Killie to last season's cup with a surprise win over Celtic at Hampden Park in March and he enjoyed the moment so much he is planning to head back to Scottish football's headquarters with Third Division 'Gers.
"The League Cup's been a great competition for me and I've got some special memories from it," said Shiels.
"Winning with Kilmarnock was a fantastic day for me and one that we all enjoyed.
"It's a competition we want to win here at Rangers, although we can't look past Wednesday night's tie for now.
"Hopefully if we can win then you never know where it can take us."
Rangers, who were relegated to Scotland's fourth tier after falling into liquidation in the summer, host Premier League leaders Motherwell in the third round of the League Cup at Ibrox tomorrow night.