Dementieva won the Auckland title last week and enters the season's first major as the No. 4 seed and on a 10-match winning streak.
She beat fellow Russian Safina on Friday in a repeat of the Beijing Olympic final result in August, a day after ousting top-seeded Serena Williams.
"This is great, to have all this pressure after winning two titles," Dementieva said. "Would it be better if I am just going to lose first round and play without pressure in Australia? No.
"It's great to have all these matches played here and in Auckland and coming to Australia with the pressure, I love it, I really do."
In the men's semifinals, Novak Djokovic lost 6-4, 7-6 (3) to Finland's Jarkko Nieminen, missing another chance to move to a career-high No. 2 ranking. The 21-year-old Serbian needed to reach the final to move ahead of Roger Federer in the rankings when the Australian Open starts Monday.
"My forehand didn't really work and you could see in all the important moments he served to my forehand and I couldn't put the ball in," Djokovic said. "Just a bad day. But we keep on going."
The 27-year-old Nalbandian, who has nine tour titles and was a runner-up at Wimbledon in 2002, overpowered Gasquet, relying on backhand winners and attacking the Frenchman's second serve.
Nalbandian won nine straight points to close out the first set and open a break in the second.
Gasquet broke back in the sixth game of the second set, helped by a between-the-legs shot from behind the baseline that he turned into a winner. Even Nalbandian applauded the shot.
But the comeback didn't last. Nalbandian broke again to take a 4-3 lead and, after wasting three match points on Gasquet's serve in the ninth game, he converted on his fourth.
Gasquet didn't help himself, giving Nalbandian triple match point with a double-fault and a fourth match point with another.
"Every day, I feel more feeling on the ball and on the game, so it's good playing a few matches and to be in the finals here," Nalbandian said. "I have to keep going and believing in my game and try to do a good match tomorrow."
Djokovic also had chances last year to move to No. 2 when Rafael Nadal held the spot behind Federer. He also had a shot last week in Brisbane -- if he'd performed well and Federer slumped in Doha -- but he lost his first match.
Djokovic, who got a wild-card entry for Sydney after losing in Brisbane, was drawn earlier Friday into the same side as Federer for the season's first major, and in the same quarter as Nalbandian.
Djokovic had an upset win over then top-ranked Federer in the semifinals during his run to the Australian Open title last year.