The 39-year-old will take charge of the Lions for the first time in a competitive match when they face Yeovil Town in the Championship on Saturday afternoon.
The London side finished 20th last season and Lomas has hinted that he can improve the club's fortunes this time around.
"Expectations are high and we want the fans to be positive, but we're not getting carried away because we knows it's a long season. Setting targets builds things up so we've got to manage expectations," he told News at Den.
"But we're quietly confident that we're building a squad that can compete very well in the Championship. You need a little bit of luck with injuries and suspensions throughout the course of any season. Of course we want the fans to be feeling good but it's about results.
"It's been exciting from the day I first came in. I get up early every morning feeling positive - I'm really looking forward to my first game."
Lomas joined Millwall from St Johnstone in June.