Paul Pierce & Willie McGinest Say Key to Retirement ... Championship.

Chris Paul might wanna pay attention ..

Paul Pierce and Willie McGinest have some advice for any pro athletes contemplating retirement -- win a championship first!

Turns out, Paul and Willie are longtime friends and met for dinner at Catch in West Hollywood on Wednesday (wonder who paid?) ... so we asked Willie if he gave Paul any advice on how to handle the transition into the retired life.

Willie says it's better with a ring -- which they both have. Willie won 3 Super Bowls with the Patriots and Paul Pierce won an NBA title with the Celtics.