The Sydney Swans VFL side will travel to Melbourne this weekend to face the Bombers at Windy Hill.
The Swans will be looking to go one better this week after they fell short to the undefeated GWS by 26 points last round.
The Swans challenged the top-of-the-table Giants for most of the game, but their cross-town rivals overran them in the last quarter to claim a VFL Sydney Derby win.
McVeigh said, although pleased with the level of effort, the key would be to sustain it across a full four quarters.
"It's kind of been the story of the year, to be honest, we've played for three quarters and then our last quarters we've really let ourselves down, and that was the case again on the weekend against a strong team," McVeigh said.
"We knew we had to play for the four quarters, but the first three were probably as good as we've played all year, so that was pleasing.
"It's a good team, but we have to sustain the defence, sustain our pressure on the ball, and then keep our transition game going.
"So unfortunately we couldn't do that for the full four quarters, but to be honest, I couldn't fault the effort and that's been a real highlight for the year."
Both side's will come into this Saturday's game off a loss, with Essendon looking to bounce back following a 10-point loss against North Melbourne.
McVeigh said the team was looking forward to being back in Melbourne and playing at the iconic Windy Hill.
"Playing at Windy Hill, which is nice, it's one of those great suburban grounds," McVeigh said.
"It's always good for the boys to get to Melbourne and experience the home of footy, I guess, and hopefully a lot of Swans fans can come out to our game before they move on to Marvel to watch the main game.
"It should be a good contest, both teams really need a win, so that's going to be a really important one for us."
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