The match, which was played mostly in the rain, proved to be a tense affair in the first half with Leeds going in 8-2 in the lead at the break thanks to a superb a individual try by Rob Burrow.
Saints hit back in the second half and scored two tries in six minutes through Tommy Makinson and Michael Shenton to give them a 14-8 lead. Jamie Foster then added a penalty from the half way line to make it 16-8 to the Saints.
However Brent Webb put the Rhinos back into contention after touching down out wide with Sinfield adding the extras.
Burrow, who was awarded the Harry Sunderland Trophy, helped Leeds regain the lead when he made a break down the left hand side, dummied past Francis Meli and passed to Ryan Hall in the corner who touched down.
St Helens have now appeared in the last six Super League Grand Finals and have lost the last five of them. The last time they lifted the trophy was in 2006 when they defeated Hull FC. Since then, Saints have lost four times to Leeds and once to Wigan which was last season.