Now, his side have one to look forward to of their own after they booked their place in the Ramsdens Cup showpiece against Raith Rovers courtesy of a 1-0 win over Stenhousemuir last night.
Having lifted numerous Scottish and League Cups during his playing career, and been part of the management team which claimed several more and guided Rangers to the Uefa Cup final, the meeting with Raith will be another unexpected first for McCoist the manager.
Indeed, it will be a strange occasion for the Light Blue legions who, accustomed to seeing their side compete for Scotland's most sought-after silverware, sang about being there when Rangers go up to lift the Ramsdens Cup.
Winning this competition has never been the priority for the champions as they make their way back through the leagues to the summit of Scottish football, but it will mark another milestone in their recent history, if they can complete the job when the final comes around next year.
McCoist has continually stressed his desire to add a Ramsdens winner's medal to his glittering personal haul and Rangers' illustrious honour roll this term and he did all he could to ensure that his side would not fall at the penultimate hurdle.
The Gers boss could have contemplated tinkering with the side which made it 10 wins from 10 SPFL League One outings with a 4-0 victory at East Fife on Saturday, but he stuck by the stars which claimed all three points in Methil.
It meant places on the bench for David Templeton and Kyle Hutton, both of whom have yet to make an impact this season due to injury-hit starts to the campaign.
There were seats in the stand for Brazilian defender Emilson Cribari and youngsters Robbie Crawford, Fraser Aird and Barrie McKay, all of whom would have hoped their boss would shuffle his pack.
The star-studded starting line-up showed McCoist's and Rangers' intentions but the Third Division champions failed to shine as they were made to battle their way to victory with a performance of more substance than style.
The Light Blues didn't carve Stenny open in the manner they did during their 8-0 rout of Martyn Corrigan's side at Ibrox a few weeks ago, but they still created chances as they dominated possession.
Jon Daly, who bagged four in that League One encounter, was first to test keeper Chris Smith with a low shot from the edge of the area before Bilel Mohnsi should have done better as he connected with a teasing Arnold Peralta corner to head wide of target.
Having stuck with the partnership of Daly and Nicky Clark, McCoist would have been eager to see his forward pairing in the thick of the action but, despite their endeavours and some glimpses of neat play between the little-and-large duo, it was to prove a frustrating night for them.
The same could be said for Peralta and midfielder Nicky Law, both of whom were left to rue their bad luck before the break as they left Smith's crossbar rattling from two ferocious drives.
First, Peralta saw a sweet strike from 30 yards hit the woodwork and bounce down on the wrong side of the line, with neither Law nor Daly able to force the ball home, before the former Motherwell man clipped the top of bar.
On the hour, the Light Blues' lack of cutting edge almost cost them as Stenny sliced the visitors open and passed up the best chance of the night, ex-Well man Darren Smith somehow firing wide of an open goal after Brown Ferguson beat Cammy Bell to the ball and squared for his Warriors team-mate.
After Daly spun well in the area and fired his shot straight at Smith, McCoist turned to his bench for inspiration as David Templeton entered the fray in place of Peralta, who once again failed to impress in a right midfield role.
Just seconds after the Gers boss had made his second switch, Andy Little replacing Clark, his side scored.
The goal was not down to a tactical masterstroke, however. Instead, Rangers had Smith to thank as he rushed from his line to try and meet a Mohsni cross, only to be beaten in the air by Daly, the Irishman rising well to head into a deserted Stenny net.
As the clock ticked down and Rangers edged ever closer to the final, they were denied by the woodwork for the third time of the evening as Lee McCulloch saw his header glance off the bar.
In the end, it didn't matter. McCoist and his players now have a chance to lift the Ramsdens Cup.