The Catalans put one foot in the semi-finals of the Copa del Rey with a 2-1 victory at the Bernabeu in the first leg on Wednesday, making it five wins and no defeats from their last seven matches at the home of their bitter rivals.
Barca also beat Madrid in the Spanish capital in the league, but that was the only time Jose Mourinho's side have dropped points in their last 14 matches and they head into the weekend with a five-point advantage over Barcelona.
Defender Pique said: "We impose our game in the games against Madrid, but the league is something very different. We can't afford to make any mistakes."
Barcelona boss Pep Guardiola has never tasted defeat at the Bernabeu, and it is a record he is justifiably proud of.
"You always think that sooner or later this run at the Bernabeu will end," he said. "It's not normal because this stadium is very imposing. Now we must rest and prepare for Malaga and then the second leg."
Eighth-placed Malaga are on a poor run of form, having failed to win a league match since November and they could have a new face in goal after Cameroon keeper Carlos Kameni's arrival this week.
Defender Martin Demichelis is looking forward to the occasion, and he said: "Barcelona is one of the best teams in history. We want to play a great game of football against a team which every footballer wants to play.
"They've been strengthened with the victory at the Bernabeu. They're motivated and will want to beat us but we're a strong team and we want to take advantage of that."
Pedro has been included in Barca's 19-man squad for the match at La Rosaleda.
A statement on the club's official website www.fcbarcelona.com read: "Nine days after pulling a hamstring in Pamplona (against Osasuna), the striker has been declared fully fit and is back in the side."