The Saints men's and women's teams spoke about their famous fan before their wins on Saturday, as the club reeled from the shock of his death.
St Kilda president Andrew Bassat also released a statement, saying the loss of Warne was "just cruel and wrong".
Saints coach Brett Ratten said they were determined to put their best foot forward after they held off Essendon for an 11-point win in their pre-season match.
Women's coach Nick Dal Santo said Warne also featured in their pre-game discussions before they beat Geelong at Moorabbin.
It was already an emotional week for the Saints, with the opening of the Danny Frawley Centre at their Moorabbin headquarters in honour of the former captain, two years after his death.
Warne was one of St Kilda's highest-profile fans, having played for them at under-19 level before concentrating on his cricket career.
Ratten said about an hour before Saturday night's game, the team had a meeting and spoke about Warne.
"It was okay to feel a bit down and we can really rally and make this day for Shane, to be proud of what the group does and make sure we put the right foot forward," he said.
"It's so raw - we need to pay our respects to him."
Ratten remembered spending time with Warne before Christmas at a fundraiser for the Frawley Centre.
"He just was willing to give up his time, to come and help at the football club," Ratten said.
"That was the type of person he was."
Ratten said he "loved" Warne the cricketer, in particular his fierce determination.
"A huge figure, a huge personality, but what a competitor," Ratten said.
"He spoke a lot about that."
Ratten felt it was important to pause and talk about Warne before the match.
"When you look at our playing group, Shane has touched all of them in different ways - socially, (he's) been around the club, had chats with them," he said.
"We wanted to talk about what Shane did for sport and what he did for our football club, probably an hour and a half before the game.
"We talked about the mixed emotions."
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