Hayden was Alan Pardew's first signing at Upton Park, and he says:
"It is only a few months since I joined but it seems like a couple of years I am settled and happy at the club.
"I would never have imagined facing Palace because when I left they weren't challenging at all, they were at the bottom of the league.
"It is a good situation for them; Iain Dowie, who came in a month after I left, has done a marvellous job.
"I don't think 'what might have been' - the decision was there to be made and it wasn't one I had to think about too much.
"I have still got loads of friends down there and Michael Hughes, who is a West Ham old boy, is a good friend of mine - in fact I still have loads of mates down there so it is a game I am looking forward to.
"But I am concentrating on what we have to do - so I haven't spoken to any of them.
"There is a good mood in the camp building up to the game; we know how important it is so we mustn't get too tense or worry too much.
"We are preparing as usual and trying to get things ready the normal way.
"It is a massive occasion and we may never get to the Millennium again while I am at the club so it will be a very big day."
Giving his verdict on his former club, he adds:
"Andy Johnson has banged in a lot of goals for them up front and he has lightning pace.
"I would say that Wayne Routledge is a danger as well, and Julian Gray would have been if he was playing.
"He is a very big player for them and if he was eligible he would have been one they would have been looking to get a win from as he is a main man.
"They have a few possibilities, though; Tommy Black could come in, I don't know, but we will just wait and see what happens on the day.
"Wayne is another direct young lad who is quick, strong, and good on the ball, and they will be looking for a big performance from him.
"The defence is not too bad, but there is not too much pace in the back line so that is something Connors and Bobby can hopefully exploit."
Hayden has done a bit of reconnaissance on the Millennium stadium by virtue of looking at Saturday's FA Cup Final, and says:
"I watched the game to get a feel of what the atmosphere is like and I would agree that this game is bigger in terms of finances, because it could put the club where they want to be.
"The facilities around the place are geared up to the Premiership and we definitely need to get back up."
Reports that Palace haven't sold all their tickets amaze Hayden, who says:
"It is a surprise because it is the first time they have got to a major final like this, but again it just shows the difference between the size of the clubs."
Hayden acknowledges that West Ham was going through a tough transition when he joined but he says:
"It has all lifted and we have got something to look forward to now; this is a massive game but we can't get too carried away with it.
"We just have to go there and do a professional job - and hopefully we will win."
Hayden has been playing left back of late, and he adds:
"I am okay there; it is not a natural position and not one I have played in before but if I am wanted to play there that is fine by me.
"Rufus is a natural left back and if he is fit enough and the gaffer thinks he has done enough to play then he will play Rufus, I am sure.
"I will just take it whichever way it comes."