They rewarded as tries from Miles Benjamin - his 50th for Warriors - and Andy Goode secured a tense 21-12 win in Cornwall.
A full house is now set to cheer the Warriors on in the second leg on Wednesday (May 18) and Pennell is keen to seal promotion on what he hopes will be a special night for everyone connected with the club.
He said: "The fans were simply fantastic and it was brilliant to see so many of them here and right behind us. Hopefully they will go home happy.
"Speaking to them after the game, they seemed pleased to get a nine-point lead and now we look to take Pirates back to Sixways and complete the job in front of a packed house.
"It was great to be back in such a massive game," he added. "I have had another unlucky season and so I was just pleased to be out there playing. I enjoyed most of it.
"Coming straight back in as captain is not always easy, but we have a lot of senior players who are right behind me and support me."
Pennell now expects the big game players at Sixways to come to the fore in the second leg in what is sure to be an electric atmosphere in a tie that still remains up for grabs.
"We have got some international players and some big game players. They have been there and won these kind of massive games before so they can play a big role," he said.
"We also have the likes of Tom Arscott and Alex Crockett who came up just short last season. We can learn from those players.
"Fingers crossed it will now all go well for us in the final game and we can achieve what we set out to do many months ago.
"There is still plenty of work to do though. It is only half-time and we can expect a huge test from the Pirates again next week."