The three acts discovered that they will perform at next week's show at Wembley when Misha B was voted out of the competition tonight.
Speaking on The Xtra Factor, Lily said that the fact people are voting for her is "such a blessing".
"I literally can't believe it," she said. "I was shaking when Dermot shouted my name. I think Kelly thought I was going to fall over - she kept holding me for a few minutes. I'm so grateful - thank you everyone for voting for me."
Lily also suggested that she could be a "UK version" of Kelly Clarkson and teased that she has a "few tricks up [her] sleeve" for the final.
"I don't want to spoil anything," she said. "People will definitely see my type of music, what I want to do. Just all me."
Elsewhere, Collins - who admitted that he has been suffering from a sore throat this week - claimed that it feels "unbelievable" to be in the final.
"I'm so honoured to even be here," he said. "I't's an amazing opportunity, I'm loving it. Loving it!"
He added that he isn't sure who his biggest competition is now, saying: "I think they're both really, really strong. They're both so different. Little Mix, they've been in it from the very, very beginning and have a big fanbase."
Meanwhile, Little Mix member Jesy Nelson said the group is "so grateful" people voted for them, adding: "We never ever thought we'd be here. The fact we are is incredible."
"It's amazing to think people like us," added Jade Thirlwall. "We're so grateful for every single person who supported us. Being a girl group, getting people on our side is amazing."
The X Factor final begins on Saturday at 8pm on ITV1.
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